topic Re: Unable to produce confidence limits in PROC HPGENSELECT in Statistical Procedures

Unable to produce confidence limits in PROC HPGENSELECT

panjifh — Sun, 06 Nov 2022 23:53:18 GMT

Hi!

I'm trying to run a logistic regression and implement LASSO variable selection using PROC HPGENSELECT. However, SAS did not produce confidence limits for the regression estimates even though I have requested it. Any idea what I did wrong? Thank you.

Panji

proc hpgenselect data=mydata;
class a b c;
model y(event='1')=x1 x2 x3 x4 x5/dist=binary link=logit cl;
selection method=lasso(choose=aicc);
run;

Re: Unable to produce confidence limits in PROC HPGENSELECT

sbxkoenk — Mon, 07 Nov 2022 21:36:27 GMT

I moved this post to the 'Statistical Procedures' board under the 'Analytics' heading!
Koen

Re: Unable to produce confidence limits in PROC HPGENSELECT

ballardw — Mon, 07 Nov 2022 22:59:05 GMT

What does your LOG show when you run the code, as in all of the messages or notes?

Did you intend to include those Class variables in the model?

Re: Unable to produce confidence limits in PROC HPGENSELECT

SAS_Rob — Tue, 08 Nov 2022 13:58:03 GMT

You should see a NOTE in the LOG alerting you to the fact that the CL option is not available when you use Lasso selection.

NOTE: The CL option is not available for the LASSO method.

Keep in mind that Lasso selection does not actually produce standard errors for the parameter estimates either, so it will not give you confidence limits.