I'm trying to find a model that will help predict the outcome of the dependent variable (binary). My test subset has 6,000 observations My variables are as follow:
- 6 categorical (with over 30 levels)
- 20 continuous
- 45 continuous (percentage)
I've tried many things for variable selection:
- PROC Logistic with Stepwise
- PROC Logistic with Stepwise followed by an all-subset research
- PROC Hpgenselect with the Stepwise method (select sl, choose SBC or AIC)
- PROC Hpgenselect with the Lasso method
No matter which method, I rarely get more than 5-6 variables selected, and if I try to score my test subset, I don't get anything better than 55% of correctly classified prediction.
I've also tried by adding modified variables (square, log) and by adding interaction terms.
Is there anything I'm missing?