We adapt the least absolute shrinkage and selection operator (lasso) and other sparse methods (elastic net and bootstrapped versions of lasso) to the conditional logistic regression model and provide a full R implementation. These variable selection procedures are applied in the context of case-crossover studies. We study the performances of conventional and sparse modelling strategies by simulations, then empirically compare results of these methods on the analysis of the association between exposure to medicinal drugs and the risk of causing an injurious road traffic crash in elderly drivers. Controlling the false discovery rate of lasso-type methods is still problematic, but this problem is also present in conventional methods. The sparse methods have the ability to provide a global analysis of dependencies, and we conclude that some of the variants compared here are valuable tools in the context of case-crossover studies with a large number of variables. Copyright © 2012 John Wiley & Sons, Ltd.