topic proc glmselect lasso selection p-values and standard error missing in Statistical Procedures

proc glmselect lasso selection p-values and standard error missing

csetzkorn — Mon, 13 Feb 2017 12:57:26 GMT

I am using this skeleton code:

PROC GLMSELECT DATA = Training TESTDATA = Test;
... 
MODEL
... /selection=lasso(stop=none choose=AIC) stb showpvalues;
...
"Parameter Estimates" = WORK.ParameterEstimates
RUN;

When I look at WORK.ParameterEstimates I noticed that:

StdErr Probt

are missing. Can I somehow ensure that these values are included?

Also can I force a selection method to use certain IVs/features?

Re: proc glmselect lasso selection p-values and standard error missing

Ksharp — Tue, 14 Feb 2017 03:30:27 GMT

Can you post your full code and output?
If that was reference class variable, StdErr could be missing because that level has been absorbed .

Re: proc glmselect lasso selection p-values and standard error missing

csetzkorn — Tue, 14 Feb 2017 07:39:03 GMT

The above is basically the code.

Re: proc glmselect lasso selection p-values and standard error missing

MY32 — Tue, 28 Nov 2017 22:08:03 GMT

I have the same question that you posed in this post. Did you find an answer? I am conducting a multiple regression and none of the variables (or levels of variables) have p-values or standard errors.