GRM and GLZ Syntax - Best Subset Regression

Click the Best subs button on the GRM Analysis Syntax Editor - Keywords tab to display the Best Subset Regression dialog. This dialog contains keywords and options for specifying a best subset analysis; see the description of the GRM Syntax for a list of all keywords (see also the GRM Analysis Syntax Editor dialog). Note that best subset regression is only available if the current model contains a single dependent variable.

Element Name Description
Keywords Click a button under Keywords to insert the respective keyword at the current cursor location in the Analysis syntax edit field on the GRM Analysis Syntax Editor dialog.
BESTCRIT BESTCRIT [=] { RSQUARED };

  { ADJRSQUARED };

  { MALLOWSCP };

Example. BESTCRIT = MALLOWSCP;

Optional keyword used in conjunction with the MBUILD option bestsubset. Specify the criterion that is to be used for comparing models (with different subsets of effects) during the best subset regression computations. The default specification is rsquared (use the ordinary multiple R-square value); see also the adjrsquared and mallowscp options below.

Applies to. GRM

START START [=] Integer Value;

Example. START = 6;

Optional keyword used in conjunction with the MBUILD option bestsubset; see also the STOP keyword below. The START and STOP values determine the sizes of the subsets that will be considered during the search through all possible subsets. STATISTICA will begin the search with the subset size specified with the START keyword, and will terminate the search after all subsets of the size specified via STOP have been evaluated.

Applies to. GRM

STOP STOP [=] Integer Value;

Example. STOP = 10;

Optional keyword used in conjunction with the MBUILD option bestsubset; see also the START keyword above. The START and STOP values determine the sizes of the subsets that will be considered during the search through all possible subsets. STATISTICA will begin the search with the subset size specified with the START keyword, and will terminate the search after all subsets of the size specified via STOP have been evaluated.

Applies to. GRM

MAXSUB MAXSUB [=] Integer Value;

Example. MAXSUB = 10;

Optional keyword used in conjunction with the MBUILD option bestsubset. The integer value specified with this keyword will determine the number of subsets (of each size if the rsquared option has been specified with the BESTCRIT command) that will be displayed on the GRM Results dialog, in the Summary of best subset regression spreadsheet. For example, if you specify MAXSUB=12, then you can later review (via option Summary of best subset regression on the GRM Results - Quick tab) the 12 best subsets according to the chosen criterion (see rsquared, adjrsquared, and mallowscp below; if the rsquared option was specified with the BESTCRIT command (see above), then you can later review the 12 best subsets for each size of subset that was considered (see keywords START, STOP above). The default value is 10.

Applies to. GRM, GLZ

Specifications The Specifications group box contains specifications (options) that can be used in the analysis syntax. Note that the specifications discussed below are the ones that are unique to best subset regression. For details about the other specifications on this dialog, see GRM Analysis Syntax Editor - Specifications tab.
rsquared Click the rsquared button to insert the specification rsquared into the Analysis syntax edit field (on the GRM Analysis Syntax Editor dialog) at the current location of the cursor. The rsquared option is used in conjunction with the BESTCRIT keyword (see also MBUILD option bestsubset) to specify that the ordinary R-square value is to be used when comparing the subsets of effects during best subset regression.
adjrsquared Click the adjrsquared button to insert the specification adjrsquared into the Analysis syntax edit field at the current location of the cursor. The adjrsquared option is used in conjunction with the BESTCRIT keyword (see also MBUILD option bestsubset) to specify that the adjusted R-square value is to be used when comparing the subsets of effects during best subset regression; the adjusted R-square is computed as 1 minus the ratio of the mean square residual over the mean square total.
mallowscp Click the mallowscp button to insert the specification mallowscp into the Analysis syntax edit field at the current location of the cursor. The mallowscp option is used in conjunction with the BESTCRIT keyword (see also MBUILD option bestsubset) to specify that the Mallow's CP value is to be used when comparing the subsets of effects during best subset regression.
Close Click this button to return to the Syntax Editor.

For more information on model building methods, see Model building in GRM in the Introductory Overview.