I have created a performance score and want to check which of my long list of variables is a leading indicator of this performance score. How do I select the variable set that I should use in the model?
Should I use GLMSELECT, but I am not sure if Lasso is appropriate for time series data. Is there a better way of selecting the best set of variables in my model? I tested many models with different sets of variables but do not feel that is the appropriate way as I feel there is much more combinations of variables that I will not have time to test.
Thank you.
I found this SGF paper from 2012. You can give it a try.
http://support.sas.com/resources/papers/proceedings12/340-2012.pdf
alex
Thanks. I will go through it.
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