How to perform a Adaptive Elastic Net selection with PROC REGSELECT?

[vitormacedo]

Dear all.

I didn't find any example available on the internet of how to run a Adaptive Elastic Net selection using PROC REGSELECT. Please. Can anybody help me?

I would also like to use cross-validation in the process. It is possible? How to perform this?

Thank you for your help.

[Rick_SAS · Accepted solution]

The doc indicates that you use the ADAPTIVE option with the ELASTICNET option:

SELECTION=ELASTICNET (ADAPTIVE).

The "What's New" doc indicates that this is a new option for the most recent release of SAS Viya 3.5 (Nov 2019). 

The cross-validation options are available by using the PARTITION statement.