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Posted 09-23-2016 06:09 PM
(2272 views)

Hello Everyone,

I want to demonstrate that

a) LASSO regression is superior to stepwise selection for variable selection

b) LASSO regression is superior to linear regression for prediction

I would like to use PROC GLMSELECT in SAS 9.3 to illustrate this. Would anyone have a data set and some code to do so?

If you have just the data set but no code, that's fine - I would be glad to write it by myself.

If you have both the data and the code, that would be even better!

Thanks for your help.

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Hi Ksharp,

Sorry - I could have phrased that second question better. Suppose I generate 2 different models:

a) one model is obtained from stepwise selection

b) one model is obtained from LASSO

I want to show that the predictive accuracy of Model B is higher than that of Model A.

As Wikipedia notes, LASSO enhances the predictive accuracy of a resulting statistical model.

https://en.wikipedia.org/wiki/Lasso_(statistics)

Would you have an example data set that I can use to demonstrate this?

Thanks.

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Hello Ksharp,

Could you please tell me where you got these statistics? Did you apply those methods to a data set? If so, could you please tell me where that data set comes from?

Thanks.

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These goodness-fit statistics I referred to is from SAS documentation. There are many example you can work with in PROC GLMSELECT documentation.

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Sorry for the very late reply, Ksharp. I forgot about this thread.

Thank you very much for your help!

Thank you very much for your help!

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