title 'Stepwise simulation example - NO real predictors';
* Generate two sets of data: 100 random predictors, 200 observations;

data sim;
   array x{100} x1-x100;
      do testset= 1 to 2;
         do n=1 to 200;
            *-- generate the predictors-- all independent, just noise;
            do i=1 to 100;
               x(i) = normal(6752343);
               end;
            *-- generate the criterion-- no relation to any of the Xs;
            y = normal(7654321);
            output;
         end;
      end;
      
proc reg;
   by testset;
   model y = x1-x100 / selection=forward slentry=.05;
	run;

/* Now see how well each prediction equation does in the other
   data set.
	- Each model should do well on the model for which it was
	selected, but poorly on the other set of data
*/

title2 'Testing cross-validation';
proc reg data=sim;
   by testset;
	M1: model y = x13 x75 x5 x25 x82 x10 x38 x87 x94 x93 x29 x97;
	M2: model y = x78 x14 x30 x25 x9 x4;