lars / lasso with glm

From: Thomas Lumley

On Tue, 31 May 2005, Bliese, Paul D LTC USAMH wrote:

We have been using Least Angle Regression (lars) to help identify
predictors in models where the outcome is continuous.  To 

do so we have

been relying on the lars package.  Theoretically, it should 

be possible

to use the lars procedure within a general linear model 

(glm) framework

- we are particular interested in a logistic regression model.  Does
anyone have examples of using lars with logistic regression?

I think the problem is that the nice efficient algorithm for 
lars doesn't 
work with generalized linear models because the weights depend on the 
fitted means.

 	-thomas