How do I use hpgenselect & LASSO as selection method? Receiving error code

[Heidilynne]

Hi - I am trying to run the proc hpgenselect to do LASSO regression. However, I continue to receive this error message: 

ERROR: The HPGENSELECT procedure supports the FORWARD, BACKWARD, and STEPWISE variable selection
techniques. The chosen technique is not available.

I am using SAS 9.4 TS Level 1MI on X64_8PRO platform. 

Code I am using: 

proc hpgenselect data=died30;
class group (ref = "2") black (ref = "0") female (ref = "0") died30 (ref = "0") / param=ref;
model died30(event="1") = age black female iqcode apache cci lawton group / dist=binary;
selection method =lasso;
run;

What am I doing wrong? Thanks! 

[FreelanceReinh · Accepted solution]

Hi @Heidilynne and welcome to the SAS Support Communities!

According to the documentation, the LASSO selection method in PROC HPGENSELECT was introduced in SAS/STAT version 14.1 (SAS 9.4M3). Your SAS 9.4M1 has probably SAS/STAT version 13.1. You can check this with

proc product_status;
run;

So, an upgrade to the latest release will (most likely) resolve the issue and add a lot of valuable enhancements to other language elements as well.