Hello: I would like to select independent variables from a list of 150 using LASSO. Most of the independent variables are in Likert Scale (1-strongly disagree, ..., 5-strongly agree). It is better to use those independent variables' ordinal nature instead of treating them as nominal independent variables.
I have checked two relevant posts:
Here as @Scortchi notes, "you can extend the idea using orthogonal polynomials to code the ordinal predictor." (Agresti's book, Section 5.4.6).
The two posts are very helpful.
For my research, though, I would like to use LASSO with many ordinal predictors/independent variables.
So what am I supposed to do? Could I apply orthogonal polynomials in LASSO (For instance, in Post 1, gung - Reinstate Monica illustrated orthogonal polynomials. I am wondering if LASSO understands "ord.x.L, ord.x.Q, ord.x.C, ord.x^4" in the output)? Or take an easy way-out like treating ordinal predictors as continuous predictors in LASSO?