I try to reproduce the SAS proc reg stepwise model selection procedure in R,
but the only function I found was "step" which select new variables based on
AIC. The SAS procedure I use add a new variable to the model based on F
statistics and a pre defined significant level. Then before any new variables
are added variables in the model that not meet F statistics at the significant
level will be removed. I have added the SAS syntax for those of familiar with
both software packages.
SAS syntax:
proc reg
model Y=x1 x2 x3 .....xn
/selection=stepwise slentry=0.50 slstay=0.05;
All ideas are appreciated
Thanks,
Hans Ole Ørka
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