The GLMSELECT Procedure - SAS

SAS/STAT User s GuideThe GLMSELECTP rocedureThis document is an individual chapter fromSAS/STAT User s correct bibliographic citation for the complete manual is as follows: SAS Institute Inc. User s , NC: SAS Institute 2013, SAS Institute Inc., Cary, NC, USAAll rights reserved. Produced in the United States of a hard-copy book: No part of this publication may be reproduced, stored in a retrieval system, or transmitted, in any form or byany means, electronic, mechanical, photocopying, or otherwise, without the prior written permission of the publisher, SAS a web download or e-book: Your use of this publication shall be governed by the terms established by the vendor at the timeyou acquire this scanning, uploading, and distribution of this book via the Internet or any other means without the permission of the publisher isillegal and punishable by law.

PROC GLMSELECT also supports hybrid versions of the LAR and LASSO methods. They use LAR and LASSO to select the model but then estimate the regression coefficients by ordinary weighted least squares. The GLMSELECT procedure is intended primarily as a model selection procedure and does not include

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