Significance level in hpgenselect procedure in SAS

Question

I am building models with proc hpgenselect but I can't set significance level. In Docs I found out that parameter: ALPHA= Specifies a global significance level. However SAS still use default value of 0.05 building model (see on image below). I wanted to see which parameters will come to model over diffrent significance levels but now I can't do this. &significance. is a macro variable. My code:

%let significance = 0.15;

proc hpgenselect data=MySet ALPHA=&significance.;
model Y = &Var./ dist=nb ALPHA=&significance.;
id id;
selection method=STEPWISE(stop=SL) DETAILS=SUMMARY;
run;

Answer 1

Try the SLS=&significance on the SELECTION statement. I believe that controls the alpha for selection. The ALPHA= on the model is for the confidence intervals produced, and ALPHA= on the hpgenselect also controls the confidence intervals.

proc hpgenselect data=MySet ALPHA=&significance.;
model Y = &Var./ dist=nb ALPHA=&significance.;
id id;
selection method=STEPWISE(stop=SL SLS=&significance) DETAILS=SUMMARY;
run;

That should give you want you want.