HPGENSELECT Error

[BTAinRVA]

Hello Everybody!

I ran the code below:

proc hpgenselect data=out.final lassosteps=50;
	model &depvar (event='1') =  &VARLIST / dist=binomial;
	partition ROLEVAR=Selected(TRAIN="1" VALIDATE="0");
	selection method=LASSO(SELECT=SBC choose=validate stop=none);
run;

and I get the error below

ERROR 22-322: Syntax error, expecting one of the following: ), ADAPTIVE, CHOOSE, LSCOEFFS, MAXEF, MAXEFFECTS, MAXSTEP, MAXSTEPS, SLE, SLENTRY, SLS, SLSTAY, STOP. 

I'm a newbie with HPGENSELECT. Anyone know what I'm doing wrong?

[ed_sas_member · Accepted solution]

Hi @BTAinRVA 

The SELECT= option is not supported by the LASSO method.

Here is the link to the documentation: https://support.sas.com/documentation/onlinedoc/stat/142/hpgenselect.pdf

Please check p.4224 regarding the SELECTION statement.

Best,

[SAS_Rob]

I think it is choking on the SELECT= option.  The selection method is based on the CHOOSE= option (which you have.  Take a look here for the valid options.

https://go.documentation.sas.com/?docsetId=statug&docsetTarget=statug_hpgenselect_syntax14.htm&docse...