Home Software Downloads SAS Procedures for Variable Selection

Please send questions or comments about PROC SCADLS to This e-mail address is being protected from spambots. You need JavaScript enabled to view it . If your organization does not permit download and installation of files, please contact us with a shipping address and we will provide a CD containing all downloadable files.

Variable selection is a classic and still very important problem in applied statistics. Methodology Center researcher Dr. Runze Li and his collaborators have been studying penalized-likelihood approaches to automatic variable selection for predictive modeling when the number of potential predictors is very large. This involves adjusting the likelihood function using a penalty which rewards parsimony. One such penalty function, which has some favorable theoretical properties, is the Smoothly Clipped Absolute Deviation (SCAD) penalty (see Fan & Li 2001).

The Methodology Center has recently released a SAS procedure, PROC SCADLS, which does linear regression using penalized least squares with the SCAD penalty. This approach automatically selects and estimates a model at the same time.

Fan, J., & Li, R. (2001). Variable selection via nonconcave penalized likelihood and its oracle properties. Journal of the American Statistical Association, 96(456), 1348-1360.

(For a reprint, please contact us.)