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I am performing group lasso and need to double check if I include a dummy variable for the reference answer or not. For example:

original question : no (0), Yes (1), Unknown (9).

If I create 3 dummy variables, no (reference) (0/1), yes (0/1), and unknown (0/1), would I include all three in the group lasso or just the 2 (yes and unknown).

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It doesn't really matter because you are using regularization. Without regularization, you would have too many parameters, but it's not a problem for a regularized model. So you can use either. Including all the categories is a popular choice for regularized models though, as you don't need to decide which category to drop.

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  • $\begingroup$ For my logistic regression model, after regularization. Would I include all three parameters (no/yes/unk) or only the two yes/unk and leave the reference out? $\endgroup$
    – Levi M
    Commented Mar 22, 2023 at 15:11
  • $\begingroup$ @LeviM as said above, it's up to you, both are ok. $\endgroup$
    – Tim
    Commented Mar 22, 2023 at 15:13
  • $\begingroup$ Ok, thank you for confirming so quickly! $\endgroup$
    – Levi M
    Commented Mar 22, 2023 at 15:14

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