Criteria for Variable Selection (REGRESSION command)

  • The ENTER, REMOVE, and TEST methods use only the TOLERANCE criterion.
  • BACKWARD removes variables according to the probability of F-to-remove (keyword POUT). Specify FOUT to use F-to-remove instead.
  • FORWARD enters variables according to the probability of F-to-enter (keyword PIN). Specify FIN to use F-to-enter instead.
  • STEPWISE uses both PIN and POUT (or FIN and FOUT) as criteria. If the criterion for entry (PIN or FIN) is less stringent than the criterion for removal (POUT or FOUT), the same variable can cycle in and out until the maximum number of steps is reached. Therefore, if PIN is larger than POUT or FIN is smaller than FOUT, REGRESSION adjusts POUT or FOUT and issues a warning.
  • The values for these criteria are specified in parentheses. If a value is not specified, the default values are used.

DEFAULTS. PIN(0.05), POUT(0.10), and TOLERANCE(0.0001). These are the defaults if CRITERIA is omitted. If criteria have been changed, DEFAULTS restores these defaults.

PIN[(value)]. Probability of F-to-enter. The default value is 0.05. Either PIN or FIN can be specified. If more than one is used, the last one specified is in effect.

FIN[(value)]. F-to-enter. The default value is 3.84. Either PIN or FIN can be specified. If more than one is used, the last one specified is in effect.

POUT[(value)]. Probability of F-to-remove. The default value is 0.10. Either POUT or FOUT can be specified. If more than one is used, the last one specified is in effect.

FOUT[(value)]. F-to-remove. The default value is 2.71. Either POUT or FOUT can be specified. If more than one is used, the last one specified is in effect.

TOLERANCE[(value)]. Tolerance. The default value is 0.0001. If the specified tolerance is very low, REGRESSION issues a warning.

MAXSTEPS[(n)]. Maximum number of steps. The value of MAXSTEPS is the sum of the maximum number of steps for each method for the equation. The default values are, for the BACKWARD or FORWARD methods, the number of variables meeting PIN/POUT or FIN/FOUT criteria, and for the STEPWISE method, twice the number of independent variables.