An easy way to do this is to use PROC GLMMOD, which builds your regression matrix the way PROC GLM would, building dummy variables, interactions, etc.

Glad I saw this post. Right now I'm working on a model with high overall fit, and using some selection model seemed like a good way to cut out some fat. I'll look into your oft-repeated advice and see if PLS is appropriate.

BTW - on a complete tangent - I find it hard to follow threads in the archives, because when people change the subject line when they reply it breaks the thread. Is there a FAQ or welcome message that tells people not to do this?

On Wed, 2 Jun 2004 15:40:51 -0700, David L. Cassell <cassell.david@epamail.epa.gov> wrote: > > > "Andrel, Jocelyn" <jandrel@WVMI.ORG> wrote: > > Is there a Proc where you can use both interaction terms and a > selection option (like SELECTION = STEPWISE) for linear regression? > Proc Reg has the selection option, and Proc GLM can handle interaction > terms, but I haven't found a Proc that does both (similar to what Proc > Logistic can do). > > Your best option is: do not do stepwise regression. > > Seriously. I have written pages on this issue in SAS-L before. > (You can bore yourself to tears by looking up my rants in the > SAS-L archives at http://www.listserv.uga.edu/archives/sas-l.html > if you want to. Just search for the keyword 'stepwise'.) > Particularly when you are working with interaction terms, which > by definition will be highly correlated with other variables > in your model, stepwise regression can do bad things. You have > no guarantee that you will get the right term, instead of some > higher-order term which happens to be correlated. > > Second option: Build your own interaction terms. They're just > your first-order terms, multiplied together. But be warned of > the incipient risks. And decide up front how you are going to > interpret an 'interaction' term which is the product of two > continuous variables. What exactly is that supposed to mean in > the real world? That is why you see this feature in PROC GLM but > not in PROC REG. > > [Side note: I don't like the fact that stepwise selection on > big heaping wads of interaction terms is even theoretically > possible in PROC LOGISTIC. It opens up several big steaming > cans of slimy worms that I would just as soon avoid.] > > HTH, > David > -- > David Cassell, CSC > Cassell.David@epa.gov > Senior computing specialist > mathematical statistician >