OPTIONS LS=72;
TITLE 'EXAMPLE 13. VARIABLE SELECTION IN MULTIPLE REGRESSION: HALD DATA';
DATA HALD;
INPUT X1 X2 X3 X4 Y;
CARDS;
 7   26    6   60   78.5
 1   29   15   52   74.3
11   56    8   20  104.3
11   31    8   47   87.6
 7   52    6   33   95.9
11   55    9   22  109.2
 3   71   17    6  102.7
 1   31   22   44   72.5
 2   54   18   22   93.1
21   47    4   26  115.9
 1   40   23   34   83.8
11   66    9   12  113.3
10   68    8   12  109.4
;
/* R-SQUARE SELECTION METHOD */
PROC REG DATA=HALD OUTEST=EST;
MODEL Y=X1-X4/SELECTION=RSQUARE BEST=2 CP;
RUN;

/* FORWARD SELECTION METHOD */
PROC REG DATA=HALD;
MODEL Y=X1-X4/SELECTION=F SLE=.50;
RUN;

/* BACKWARD ELIMINATION METHOD */
PROC REG DATA=HALD;
MODEL Y=X1-X4/SELECTION=B SLS=.10;
RUN;

/* STEPWISE SELECTION METHOD */
PROC REG DATA=HALD;
MODEL Y=X1-X4/SELECTION=STEPWISE SLE=.15 SLS=.15;
RUN;

/* MAXIMUM R-SQUARE IMPROVEMENT */
PROC REG DATA=HALD;
MODEL Y=X1-X4/SELECTION=MAXR;
RUN;