GLMSELECT Procedure

The GLMSELECT procedure now provides model averaging with the experimental MODELAVERAGE statement, which requests model selection on resampled subsets of the input data. An average model is produced by averaging the parameter estimates of the selected models that are obtained for each resampled subset of the input data.

The ADAPTIVE option of the SELECTION=LASSO method specifies adaptive lasso selection, which is a modification of lasso selection where weights are applied to each of the parameters in forming the lasso constraint.