Date: Tue, 17 Oct 2006 02:55:45 -0700
Reply-To: Hermine <nfhmail-all@YAHOO.FR>
Sender: "SAS(r) Discussion" <SAS-L@LISTSERV.UGA.EDU>
From: Hermine <nfhmail-all@YAHOO.FR>
Subject: score chi-square in forward variable selection in SAS
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I am coding the logistic regression and variables selection. I used the
SAS manual as a guide, but one of the problem I have is that I can not
compute the right score chi-square to choose the next variable to enter
in the model in forward selection.
I used for the score the formula U’(γ0) I-1(γ0) U(γ0) where U is
the vector of first partial derivatives of the log likelihood with
respect to the parameter vector γ and I is the information matrix
If I already have v1, v2, …vt variables in the model, I build a model
with v1, v2, …vt, vt+1 variables which give me γ and to measure the
significance of vt+1, I set γt+1 = 0 and compute the score then
compare it to a chi-square distribution with one degree of freedom. Do
anybody see something wrong with this?
My scores are very large compare to what I obtain with SAS and the
order of entry of the variables is not the same.
Thanks in advance for your help.
PS: I am working on binary problems