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I have a problem with SAS proc logistic.

I was using the following procedures when I had OLS regression and everything worked OK:

proc reg data = input_data outest = output_data;
model y = x1-x25 / selection = cp aic stop = 10;
run;
quit;

Here I wanted SAS to estimate all possible regressions using combinations of 25 regressors (x1-x25) including no more than 10 regressors in model.

Basically, I want to do the same thing (estimate all possible models having 25 regressors with no more than 10 included in a model and output top-models in a dataset with corresponding AIC) but with logistic regression.

I also know that I can use selection = score in Proc Logistic, but I'm not sure how to use outest= then and whether Score Chi-square is really a reliable alternative to cp and AIC in proc reg

So far, I know how to do stepwise/backward/forward logistic regressions, but these methods do not suit me well and btw they display in the output dataset only the top-1 model, while I want at least top-100.

Any help or advice will be highly appreciated!

PeterClemmensen
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user3812923
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  • One more question: How can I ask SAS to estimate all possible models given the regressors and choose top ones by AUROC (are under ROC curve)? – user3812923 Aug 07 '14 at 17:02
  • Whether the score chi-square is a reliable alternative to Cp and AIC is a question for [CrossValidated](http://stats.stackexchange.com). – Alex A. Dec 16 '14 at 17:55
  • Have you tried a macro that creates the variable combinations? –  May 15 '18 at 16:38

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