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Melk
Lapis Lazuli | Level 10

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;

1 REPLY 1
Rick_SAS
SAS Super FREQ

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.

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