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The GLMSELECT Procedure
Overview
Features
Getting Started
Syntax
PROC GLMSELECT Statement
BY Statement
CLASS Statement
CODE Statement
EFFECT Statement
FREQ Statement
MODEL Statement
MODELAVERAGE Statement
OUTPUT Statement
PARTITION Statement
PERFORMANCE Statement
SCORE Statement
STORE Statement
WEIGHT Statement
Details
Model-Selection Methods
Model Selection Issues
Criteria Used in Model Selection Methods
CLASS Variable Parameterization and the SPLIT Option
Macro Variables Containing Selected Models
Using the STORE Statement
Building the SSCP Matrix
Model Averaging
Using Validation and Test Data
Cross Validation
External Cross Validation
Screening
Displayed Output
ODS Table Names
ODS Graphics
Examples
Modeling Baseball Salaries Using Performance Statistics
Using Validation and Cross Validation
Scatter Plot Smoothing by Selecting Spline Functions
Multimember Effects and the Design Matrix
Model Averaging
Elastic Net and External Cross Validation
LASSO with Screening
References
Examples: GLMSELECT Procedure
Subsections:
48.1 Modeling Baseball Salaries Using Performance Statistics
48.2 Using Validation and Cross Validation
48.3 Scatter Plot Smoothing by Selecting Spline Functions
48.4 Multimember Effects and the Design Matrix
48.5 Model Averaging
48.6 Elastic Net and External Cross Validation
48.7 LASSO with Screening
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