Hi all,
I would like to save the output of the proc glmselect in a separate file. Specifically, I want to create a file containing the selected variables in columns (the estimates of their coefficients that are provided in the result widow). My code is i.e.
proc glmselect data=&infile plot=all seed=123;
model &depvar=indepvar
/ selection=LASSO( stop=none choose=cvex);
run;
I know I can use ods output paramterestimates, however I would like to get a result compared to the outest statement in proc reg. My Variables should be listed in single columns.
Thank you very much for an answer.