Proc GLMSelect: How can I force to include some effects in Lasso selection ?

Tissue5454 — Thu, 24 Aug 2017 07:54:43 GMT

I am trying variable selection by Lasso using GLMselect.

For the purpose of analysis, variables to include the model shoulde be selected by statistical method; Lasso,

but at the same time, I want to force to include some dummy variables in the selected model.

I know that Lasso in GLMselect does not have "include" option.

Does anyone know the way to force to include some valiables in Lasso variable selection?

Re: Proc GLMSelect: How can I force to include some effects in Lasso selection ?

Tissue5454 — Thu, 24 Aug 2017 08:46:04 GMT

I think I should try Group Lasso grouping dummy variables as one group.

Thank you,