Learn about lasso in Stata.

See what's new in lasso.

Lasso for prediction and model selection

• Lasso
• Elastic net
• Square-root lasso
• Continuous, binary, and count outcomes
• Clustered data New

Lasso for inference

• Effect estimates for covariates of interest
• Coefficients, SEs, tests, confidence intervals
• Robust and cluster–robust SEs New
• 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
• Treatment effects New

Bayesian lasso

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