In SAS EM version 12.1 or later, the LASSO or LARS options are available under HPREGRESSION node. In HP STAT product 12.1 or later, the options are available HPLOGISTIC procedure. The difference is in HPLOGISTIC the options are no longer options under MODEL. They are under stand-alone SELECTION statement. The whole HP STAT package does not require huge investment in hardware to run. It is available as upgrade to your regular STAT. Computation wise, all the HP procedures are designed to run on multi-threads. On this computer I am typing this reply, there are 4 cores and 8 threads in total. A logistic regression model that used to run ~74 minutes with PROC LOGISTIC is down to 8 minutes. Generally, if all possible, one may want to engage hold-out data earlier in modeling estimation and selection. In HPREG, a separate PARTITION statement is already built in. HPLOGISTIC part is under construction, so I heard. Jason Xin
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