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>
Organization: http://groups.google.com
Subject:      score chi-square in forward variable selection in SAS
Comments: To: sas-l@uga.edu
Content-Type: text/plain; charset="utf-8"

Dear all,

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.

Hermine.

PS: I am working on binary problems