Hello. I am new to LASSO regression and I am running it to select variables and then run a binary (1) and multinomial regression (2) using the variables selected to see how well they predict the outcomes of interest. Below is the code for the LASSO with a binary outcome: proc hpgenselect data=dataset; model outcome_binary (event="1") = var1 var2 var3 var4 var5 var6 var7 var8 var9 var10 var11 var12 var13 var14 var15 var16 var17 var18 var19 var20 var21 var22 var23 var24 var25 var26 var27 var28 var29/ link = logit dist=binary; selection method=lasso(choose=aicc stop=aicc) details = All; run; Is it correct? I believe it is, but would love if someone more experienced can confirm. Also, to run a LASSO for a 5 level categorical outcome that has one of the levels as the reference , would I just need to change the link and dist to the following: link = GLOGIT dist=multinomial? Some of the models show that only the intercept was selected and nothing else. Any reasons why that may be? Thank you!
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