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I am building models with proc hpgenselect but I can't set significance level. In Docs I found out that parameter: ALPHA= Specifies a global significance level. However SAS still use default value of 0.05 building model (see on image below). Significance level I wanted to see which parameters will come to model over diffrent significance levels but now I can't do this. &significance. is a macro variable. My code:

%let significance = 0.15;

proc hpgenselect data=MySet ALPHA=&significance.;
model Y = &Var./ dist=nb ALPHA=&significance.;
id id;
selection method=STEPWISE(stop=SL) DETAILS=SUMMARY;
run;
Roberto
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1 Answers1

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Try the SLS=&significance on the SELECTION statement. I believe that controls the alpha for selection. The ALPHA= on the model is for the confidence intervals produced, and ALPHA= on the hpgenselect also controls the confidence intervals. 

proc hpgenselect data=MySet ALPHA=&significance.;
model Y = &Var./ dist=nb ALPHA=&significance.;
id id;
selection method=STEPWISE(stop=SL SLS=&significance) DETAILS=SUMMARY;
run;

That should give you want you want.

DomPazz
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  • Thank you mate, that's exactly what I wanted! How did you know that? :) – Roberto Dec 22 '17 at 09:19
  • @Roberto, I had to dig through the documentation. There is definitely a learning curve to reading it (I used to write documentation for SAS, so I can navigate it fairly well). – DomPazz Dec 26 '17 at 14:21
  • I've some questions about this procedure. Do You know how it iterprets weights? In Stata and SAS i ve got different results, but without them I have pretty the same.Could you help me ? – Roberto Jan 12 '18 at 01:45
  • Ask a new question and someone should be able to help. Also try going through the documentation on the methodologies. – DomPazz Jan 12 '18 at 15:26