I don't think one was ever developed, so I will try again (after 5 years).  This is based on the use of the ENSCALE option.  That option applies a rescaling of (1 + L2) to the parameters.  If you do the naive elastic net (without rescaling) and get the model parameters out, repeat the elastic net with the ENSCALE option and get those model parameters out, you could match up the included variables and construct a ratio of the beta's.  From that and a little (actually very little) algebra, you could calculate the final L2 value used.  Verification of this could be done with fixed L2 values.   Just an idea.  I haven't even begun to try to actually implement this.   SteveDenham ... View more