The REGSELECT Procedure

The REGSELECT procedure fits and performs model selection for ordinary least squares regression models in SAS Viya.

The models that PROC REGSELECT supports can contain main effects that consist of both continuous and classification variables and interaction effects of these variables. The models can also include constructed effects such as splines. The procedure offers a number of effect-selection methods, including stepwise methods and modern LASSO methods. It also offers extensive capabilities for customizing the model selection by using a wide variety of selection and stopping criteria, from computationally efficient significance-level-based criteria to modern, computationally intensive validation-based criteria. PROC REGSELECT also provides a variety of regression diagnostics that are conditional on the selected model.