I'm doing variable selection using the Lasso.
To explain my response variable I have several predictors, both categorical and numerical, but I have problems to explain the process that underlies when Lasso selects only a category from a variable with several categories.
For example, one of my predictors is a categorial variable with four levels, and Lasso just selects one of them. So, Lasso is working with the whole variable (the four categories) but some may "enter" and some not. How can I explain this? It's something related with Analysis of Covariance?
I hope my question makes sense and I would appreciate a not very mathematical answer.