Ahrens, Achim; Hansen, Christian Bailey; Schaffer, Mark E. - 2019
, square-root lasso, elastic net, ridge regression, adaptive lasso and post-estimation OLS. The methods are suitable for the …This article introduces lassopack, a suite of programs for regularized regression in Stata. lassopack implements lasso … (implemented in lasso2), K-fold cross-validation and h-step ahead rolling cross-validation for cross-section, panel and time …