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.
Evaluate selected model
- Cross-validation function plot
- Coefficient paths
- Goodness of fit
- Mean squared error of prediction
- In-sample and out-of-sample R-squareds
- In-sample and out-of-sample deviance ratios
- Relative L1-norm of coefficients
- Relative L2-norm squared of coefficients
- Estimated coefficients li>
See New in Stata 18 to learn about what was added in Stata 18.