I try to follow this. I use this code:
PROC GLMSELECT data=TrainingData valdata=ValData plots=coefficients;
I get these errors:
ERROR 22-322: Syntax error, expecting one of the following: BACKWARD, FORWARD, LAR, LASSO, NONE, STEPWISE.ERROR 76-322: Syntax error, statement will be ignored.
Any idea? Code above looks OK to me ...
SELECTION=ELASTICNET was implemented in SAS/STAT 13.1, which was released as part of SAS 9.4M1 in 2013. The error message indicates that you are running an older version of SAS that does not have support for the elastic net algorithm.
You can submit:
%put SYSVLONG = &SYSVLONG;
and look in the log to find your version of SAS.
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