data cars93a; set ma2612.cars93a; d2=displace**2; h2=hp**2; r2=rpm**2; run; /* The variable press written to the output data set cars93a_reg1_out, contains the deleted residuals */ proc reg data=cars93a; model highmpg= hp displace rpm d2 h2 r2; output out=cars93a_reg1_out press=press; run; data cars93a_reg1_out; set cars93a_reg1_out; press2=press**2; run; /* The mean of the variable press2 is the estimate of the true squared prediction error. Compare with the MSE, the optimistic estimate. */ proc univariate data=cars93a_reg1_out; var press2; run;