Unable to produce confidence limits in PROC HPGENSELECT

[panjifh]

Hi!

I'm trying to run a logistic regression and implement LASSO variable selection using PROC HPGENSELECT. However, SAS did not produce confidence limits for the regression estimates even though I have requested it. Any idea what I did wrong? Thank you.

Panji

proc hpgenselect data=mydata;
class a b c;
model y(event='1')=x1 x2 x3 x4 x5/dist=binary link=logit cl;
selection method=lasso(choose=aicc);
run;

[sbxkoenk]

I moved this post to the 'Statistical Procedures' board under the 'Analytics' heading!
Koen

[ballardw]

What does your LOG show when you run the code, as in all of the messages or notes?

Did you intend to include those Class variables in the model?

[SAS_Rob · Accepted solution]

You should see a NOTE in the LOG alerting you to the fact that the CL option is not available when you use Lasso selection.  

NOTE: The CL option is not available for the LASSO method.

Keep in mind that Lasso selection does not actually produce standard errors for the parameter estimates either, so it will not give you confidence limits.