Programming the statistical procedures from SAS

proc glmselect lasso selection p-values and standard error missing

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Frequent Contributor
Posts: 79

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: 9,775

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

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: 79

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

The above is basically the code.
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