Example 6 for PROC GLMSELECT
/****************************************************************/
/* S A S S A M P L E L I B R A R Y */
/* */
/* NAME: glsex6 */
/* TITLE: Example 6 for PROC GLMSELECT */
/* DESC: LEU */
/* */
/* PRODUCT: STAT */
/* SYSTEM: ALL */
/* KEYS: Model Selection, LASSO, Elastic Net, */
/* External Cross Validation */
/* PROCS: GLMSELECT */
/* */
/* SUPPORT: Jun Liu */
/****************************************************************/
ods graphics on;
proc glmselect data=sashelp.Leutrain valdata=sashelp.Leutest
plots=coefficients;
model y = x1-x7129/
selection=LASSO(steps=120 choose=validate);
run;
proc glmselect data=sashelp.Leutrain valdata=sashelp.Leutest
plots=coefficients;
model y = x1-x7129/
selection=elasticnet(steps=120 L2=0.001 choose=validate);
run;
proc glmselect data=sashelp.Leutrain valdata=sashelp.Leutest
plots=coefficients;
model y = x1-x7129/
selection=elasticnet(steps=120 choose=validate);
run;
proc glmselect data=sashelp.Leutrain testdata=sashelp.Leutest
plots=coefficients;
model y = x1-x7129/
selection=elasticnet(steps=120 choose=cv)cvmethod=split(4);
run;
proc glmselect data=sashelp.Leutrain testdata=sashelp.Leutest
plots=coefficients;
model y = x1-x7129/
selection=elasticnet(steps=120 choose=cvex)cvmethod=split(4);
run;