How to include some variables by default in proc glmselect for Lasso regression?

[jindalrp]

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.

[Ksharp]

Unfortunately, INCLUDE= option is not available for PROC GLMSELECT.

But INCLUDE= option is available for PROC HPGENSELECT .

[Rick_SAS]

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;

[jindalrp]

Thank you for your replies.

@Rick_SAS, I had done exactly this but was wondering if I could do it all in one step for cleaner presentation of methodology and results.

@Ksharp, is there a way to run proc hpgenselect in SAS 9.3 TS Level 1M2, X64_8PRO platform?