I am using this skeleton code:
PROC GLMSELECT DATA = Training TESTDATA = Test;
...
MODEL
... /selection=lasso(stop=none choose=AIC) stb showpvalues;
...
"Parameter Estimates" = WORK.ParameterEstimates
RUN;
When I look at WORK.ParameterEstimates I noticed that:
StdErr Probt
are missing. Can I somehow ensure that these values are included?
Also can I force a selection method to use certain IVs/features?
Can you post your full code and output? If that was reference class variable, StdErr could be missing because that level has been absorbed .
I have the same question that you posed in this post. Did you find an answer? I am conducting a multiple regression and none of the variables (or levels of variables) have p-values or standard errors.
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