I am using penalised methods based on
glmnet package in R. I used the zero inflated Poisson regression for my sample which contains 2,734 observations and 27 predictors. There is a high level of multicollinearity among the predictors. I would like to identify a sparse subset of predictors, so I am considering elastic net penalized methods to select these features.
My question is: can I used penalised methods just for selection in a regular Poisson GLM and then estimate the zero-inflated Poisson regression model using the features identified in the earlier model?