topic HPGENSELECT - lasso selection - parameter p-values in Statistical Procedures

HPGENSELECT - lasso selection - parameter p-values

Melk — Fri, 20 Jul 2018 21:59:49 GMT

My hpgenselect lasso model does not output parameter p values. Is there something wrong with my code?

proc hpgenselect data = dat;
   class a b c;
   model y(EVENT='1') = a b c d e / dist=binary;
       selection method=lasso details=all;
run;

Re: HPGENSELECT - lasso selection - parameter p-values

Rick_SAS — Mon, 23 Jul 2018 00:18:10 GMT

Variable selection procedures do not output traditional p-values (and other inferential statistics) are invalid due to the multiple comparisons made during the model selection process. For more information, see the PROC GLMSELECT documentation.