Looking at this:
http://support.sas.com/documentation/cdl/en/statug/66859/HTML/default/viewer.htm#statug_glmselect_ex...
It appears that one can perform ridge regression to deal with collinearity using for example:
proc glmselect data=sashelp.Leutrain valdata=sashelp.Leutest
plots=coefficients;
model y = x1-x7129/
selection=elasticnet(steps=120 L2=0.001 choose=validate);
run;
Is this correct? Can anyone please recommend some papers/books talking about the elasticnet method in more details please?