Programming the statistical procedures from SAS

proc glmselect lasso selection p-values and standard error missing

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Frequent Contributor
Posts: 120

proc glmselect lasso selection p-values and standard error missing

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?

 

 

Super User
Posts: 10,194

Re: proc glmselect lasso selection p-values and standard error missing

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


Frequent Contributor
Posts: 120

Re: proc glmselect lasso selection p-values and standard error missing

The above is basically the code.
New User
Posts: 1

Re: proc glmselect lasso selection p-values and standard error missing

Posted in reply to csetzkorn

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. 

 

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