An introduction to the lasso in Stata
9 September 2019
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Why is the lasso interesting?
The least absolute shrinkage and selection operator (lasso) estimates model coefficients and these estimates can be used to select which covariates should be included in a model. The lasso is used for outcome prediction and for inference about causal parameters. In this post, we provide an introduction to the lasso and discuss using the lasso for prediction. In the next post, we discuss using the lasso for inference about causal parameters. Read more…