Fine and Gray competing risk model Elastic Net selection

[Abimal_Zippi]

Gd day, 

Can I ask your support how to include an elastic net penalised regression approach for variable selection for the Fine and Gray competing risk model using SAS (Fine-Gray proportional hazards models). How about optimizing proc glmselect procedure or any procedure to help model building for Fine-Gray competing risk model in a sequential way? 

Thanks for your help. 

[Rick_SAS · Accepted solution]

In SAS/STAT, the PHREG procedure supports four kinds of variable selection,

 including forward, backward, stepwise, and score (branch and bound). It does not support elastic nets.

In SAS Viya, the PHSELECT procedure, which fits models just like PROC PHREG, also supports the LASSO method.

I believe the only procedure that supports elastic net is the GLMSELECT procedure in SAS/STAT and the  REGSELECT procedure in SAS Visual Statistics.

[Abimal_Zippi]

Thanks for this, Rick!