HPgenselect with a case control conditional logistic regression

[Levi_M]

I have previously used glmselect and hpgenselect for linear and logistic regression model selection however I have come across a question. I am working on a case/control (1:3) conditional logistic regression with a high number of parameters and would like to perform dimensional reduction, like lasso. However, hpgenselect does not allow for the consideration of 'strata'. In this scenario, would it be inappropriate to consider hpgenselect because of the lack of 'strata', and, if so, are there alternatives in SAS that I am unaware of?

Thank you - 

[SAS_Rob · Accepted solution]

Unfortunately there isn't a good way in SAS to run model selection for a conditional logistic model using Lasso.  If you want to do model selection then you would need use Proc LOGISTIC with one of its methods.

SAS Help Center: MODEL Statement 

[Levi_M]

Thank you for the quick and informative response! While I am familiar with the model selection selection techniques in proc logistic, please correct me if I am wrong, these methods are primarily used for unconditional logistic regression and not applicable for conditional?

Thank you -