proc glmselect lasso selection p-values and standard error missing

[csetzkorn]

I am using this skeleton code:

PROC GLMSELECT DATA = Training TESTDATA = Test;
... 
MODEL
... /selection=lasso(stop=none choose=AIC) stb showpvalues;
...
"Parameter Estimates" = WORK.ParameterEstimates
RUN;

When I look at WORK.ParameterEstimates I noticed that:

StdErr Probt

are missing. Can I somehow ensure that these values are included?

Also can I force a selection method to use certain IVs/features?

[Ksharp]

Can you post your full code and output?
If that was reference class variable, StdErr could be missing because that level has been absorbed .

[csetzkorn]

The above is basically the code.

[MY32]

I have the same question that you posed in this post. Did you find an answer? I am conducting a multiple regression and none of the variables (or levels of variables) have p-values or standard errors.