SAS/STAT Software: The GLMSELECT procedure performs effect selection in the framework of general linear models. A variety of model selection methods are available, including the LASSO method of Tibshirani (1996) and the related LAR method of Efron et al. (2004). The procedure offers extensive capabilities for customizing the selection with a wide variety of selection and stopping criteria, from traditional and computationally efficient significance-level-based criteria to more computationally intensive validation-based criteria. The procedure also provides graphical summaries of the selection search.

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