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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.
Selection methods
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
Additional resources
See New in Stata 18 to learn about what was added in Stata 18.
;)