Proc GLMSELECT LASSO

[dubya]

I am currently using SAS 9.4 and am interested in performing model selection using the LASSO technique. I ran across a tutorial online and Proc GLMSELECT seems to be a great way to do this. However, I was wondering, can I perform the LASSO technique with the version of SAS that I have? I am asking this because the youtube tutorial used version 13.1.

[rayIII]

Yep, you can use SELECTION=LASSO in 9.4, for example:

proc glmselect data = sashelp.iris;
model petallength = petalwidth sepalwidth sepallength / selection=lasso;
run;

Ray

[Rick_SAS]

The SAS analytical procedures (such as SAS/STAT, SAS/ETS, SAS/IML,...) use numbers like

13.1, 13.2, and 14.1

for their releases.  Because these products are released during a major or minor release of the rest of SAS, you will also see references to the SAS maintenance releases, such as

9.4m1, 9.4m2, and 9.4m3.

The "Rosetta Stone" that enables you to see the correspondence between these two numbering systems is the article

"How old is your version of SAS: Release dates for SAS Software"

If you don't know which version of SAS you are running, you can determine your version of SAS software at run time.