The GLMSELECT Procedure

requests the PerfSettings table that shows the performance settings in effect and the Timing table that provides a broad timing breakdown of the PROC GLMSELECT step.

specifies whether the SSCP matrix is built incrementally as the selection process progresses or whether the SCCP matrix for the full model is built at the outset. Building the SSCP matrix incrementally can significantly reduce the memory required and the time taken to perform model selection in cases where the number of parameters in the selected model is much smaller than the number of parameters in the full model, but it can hurt performance in other cases since it requires at least one pass through the model training data at each step. If you use backward selection or no selection, or if the BIC or CP statistics are required in the selection process, then the BUILDSSCP=INCREMENTAL option is ignored. In other cases, BUILDSSCP=INCREMENTAL is used by default if the number of effects is greater than 100. See the section Building the SSCP Matrix for further details.