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What are model selection methods are applicable in this setting?

Is it possible to calculate AIC or BIC with SAS's surveyreg output?

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Probably not, but you can refer two SAS macro programs:

A SAS® MACRO FOR PERFORMING BACKWARD SELECTION IN PROC SURVEYREG SAS® Model Selection Macros for Complex Survey Data Using PROC SURVEYLOGISTIC/SURVEYREG

Hope it helpful.

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Thanks! in fact I had written SAS macros to do forward and backward selection as well. I'd like to be able to prevent over-fitting in the model building process. Is the inability to compute AIC/BIC quantities due to the nature of complex survey analysis, or is this due simply to yet-to-be-developed theory? – Ming-Chih Kao Nov 4 '11 at 20:20
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According to my pretty blur memory, Mplus may have AIC and BIC for some models based on survey data. You can take a look at its website: statmodel.com There is a discussion forum on the website. You can post this question, and Dr. Muthen (the developer) will answer you. Good luck! – cchien Nov 9 '11 at 18:21

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