Is there a way to include 2 class variables in Lasso regression by default? Basically I want to allow Lasso to choose from among a list of continuous variables but want to include 2 class variables (one has 9 categories and the other has 6 categories) for sure. I am using SAS version 9.3 X64_8PRO.
Thank you.
Unfortunately, INCLUDE= option is not available for PROC GLMSELECT. But INCLUDE= option is available for PROC HPGENSELECT .
You can run a regression on the two variables, then use the residuals as the response in PROC GLMSELECT. It might look something like this:
proc glm data=Have;
class C1 C2;
model Y = C1 C2;
output out=Residuals r=NewY;
run;
proc glmselect data=Residuals;
model NewY = x1 - x1000;
...
run;
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