Lasso features in Stata

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Lasso

With Stata's lasso and elastic net features, you can perform model selection and prediction for your continuous, binary, and count outcomes. Want to estimate effects and test coefficients? With cutting-edge inferential methods, you can make inferences for variables of interest while lassos select control variables for you. You can even account for endogenous covariates.

Learn about lasso in Stata.

Lasso for prediction and model selection

Lasso
Elastic net
Square-root lasso
Continuous, binary, count, and survival-time outcomes
Clustered data

Watch Lasso for prediction and model selection.
Watch Using lasso with clustered data for prediction and inference.
Watch Lasso for Cox proportional hazards models.

Lasso for inference

Effect estimates for covariates of interest
Coefficients, SEs, tests, confidence intervals
Robust and cluster–robust SEs
Lasso selects control variables
Robust to model-selection mistakes by lasso
Double selection
Partialing out
Cross-fit partialing out
Double machine learning (DML1 and DML2)
Linear, logit, and Poisson regression
Endogenous covariates in linear models
Causal inference/Treatment effects

Watch Lasso for inference.
Watch Treatment-effects estimation using lasso.

Bayesian lasso New

Data preparation

Divide data into random samples
Manage large lists of variables

Create names for referring to

All continuous variables
All categorical variables
Your own variable groupings

Selection methods

Cross-validation
Adaptive lasso
Plugin iterative formula
Bayesian information criterion (BIC)
Select your own

Watch Using BIC in lasso.

Evaluate selected model

Graphs

Cross-validation function plot
Coefficient paths

Goodness of fit

Mean squared error of prediction
In-sample and out-of-sample R-squareds
Deviance
In-sample and out-of-sample deviance ratios
BIC
Relative L1-norm of coefficients
Relative L2-norm squared of coefficients

Estimated coefficients
- Penalized
- Postselection

Additional resources

Lasso Reference Manual

Microeconometrics Using Stata, Second Edition, Volumes I and II by A. Colin Cameron and Pravin K. Trivedi
The Stata Blog: An introduction to the lasso in Stata
The Stata Blog: Using the lasso for inference in high-dimensional models
Lasso flyer

See New in Stata 19 to learn about what was added in Stata 19.

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