I am trying variable selection by Lasso using GLMselect.
For the purpose of analysis, variables to include the model shoulde be selected by statistical method; Lasso,
but at the same time, I want to force to include some dummy variables in the selected model.
I know that Lasso in GLMselect does not have "include" option.
Does anyone know the way to force to include some valiables in Lasso variable selection?
I think I should try Group Lasso grouping dummy variables as one group.
Thank you,
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