HPGENSELECT - lasso selection - parameter p-values

[Melk]

My hpgenselect lasso model does not output parameter p values. Is there something wrong with my code?

proc hpgenselect data = dat;
    class a b c;
    model y(EVENT='1') = a b c d e / dist=binary;
        selection method=lasso details=all;
run;

[Rick_SAS]

Variable selection procedures do not output traditional p-values (and other inferential statistics) are invalid due to the multiple comparisons made during the model selection process. For more information, see the PROC GLMSELECT documentation.