Example Data Set For Showing Superiority of LASSO Over Stepwise Selection

[PurpleNinja]

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.

[Ksharp]

Compare AIC BIC PRESS .... these model fit statistic with these two method.

I don't understand your second question. LASSO is variable selection method ,not a regression method.

There are some better method than LASSO , like Net-LASSO .
Check the documentation .

[PurpleNinja]

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.

[Ksharp · Accepted solution]

Yeah. LASSO would be better than STEPWISE .
After using these two method with PROC GLMSELECT ,
Check the following fit statistics:

AIC 2172.72685
AICC 2174.27787
SBC 1736.94624
ASE (Train) 24.18515
ASE (Validate) 25.74617
ASE (Test) 22.57297

I would expect LASSO has smaller value of these statistics than STEPWISE.

[PurpleNinja]

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.

[Ksharp]

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

[PurpleNinja]

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

Thank you very much for your help!