LASSO-stata
时间: 2023-09-25 20:10:23 浏览: 53
LASSO (Least Absolute Shrinkage and Selection Operator) is a statistical method used for variable selection and regularization in regression analysis. It is particularly useful when dealing with high-dimensional data where there are more predictors than observations.
In Stata, you can perform LASSO regression using the "lasso" command. This command is part of the "lassopack" package, which needs to be installed first. You can install it by typing the following command in Stata:
```
ssc install lassopack
```
Once installed, you can use the "lasso" command to estimate LASSO regression models. The basic syntax of the command is as follows:
```
lasso dependent_var independent_vars, [options]