Thanks for pointing to GLMSELECT.

It works fine for me when using a single class variable, but I would like to have a full rank design matrix with several class variables, ie. some dummies need be eliminated. How do I obtain that without detailed programming?

Or are there other ways of getting rid of dummies. When using the dummies in a syslin model, estimation stops with the message "model is not of full rank". In comparison, Stata cleans up without being asked. Obviously is SAS not that friendly, but how do I ask it to be?

best Øyvind