@Ksharp wrote:
My answer is no as Paige.
Use PROC HPGENSELECT to reduce the number of variables, but you need firstly know
which kind of distribution the y vaiable conform to .
My problem with PROC HPGENSELECT is that it takes a widely discredited idea (stepwise, backwards or forward selection) and makes it into a HP procedure, meaning you can run it on huge amounts of data. The result of the method is still suspect, according to many statisticians. Note: I have no experience with the LASSO technique, so I am not going to comment on that.
... View more