To investigate a collection of factors for their potential association with the outcome of interest
To investigate a collection of known relevant factors for their ability to predict the outcome of interest.
The GOAL
To obtain a parsimonious set of variables that efficiently predicts the response variable of interest.
Model Selection
PROC REG supports a variety of model selection methods but does not support a CLASS statement.
PROC GLM supports the CLASS statement but does not include the model selection methods
PROC GLMSELECT supports the CLASS statement and includes model selection methods but does not include regression diagnostics or hypothesis testing, LS-means etc.
o Only available in SAS 9.2
o Can download from SAS website for 9.1
o http://support.sas.com/rnd/app/da/glmselect.html
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