%0 Report
        %A Ahrens, Achim
%A Hansen, Christian B.
%A Schaffer, Mark E
        %T lassopack: Model Selection and Prediction with Regularized Regression in Stata
        %D 2019
        %8 2019 Jan
        %I Institute of Labor Economics (IZA)
        %C Bonn
        %7 IZA Discussion Paper
        %N 12081
        %U https://www.iza.org/publications/dp12081
        %X This article introduces lassopack, a suite of programs for regularized regression in Stata. lassopack implements lasso, square-root lasso, elastic net, ridge regression, adaptive lasso and post-estimation OLS. The methods are suitable for the high-dimensional setting where the number of predictors p may be large and possibly greater than the number of observations, n. We offer three different approaches for selecting the penalization ('tuning') parameters: information criteria (implemented in lasso2), K-fold cross-validation and h-step ahead rolling cross-validation for cross-section, panel and time-series data (cvlasso), and theory-driven ('rigorous') penalization for the lasso and square-root lasso for cross-section and panel data (rlasso). We discuss the theoretical framework and practical considerations for each approach. We also present Monte Carlo results to compare the performance of the penalization approaches.
        %K lasso2
%K cvlasso
%K rlasso
%K lasso
%K elastic net
%K square-root lasso
%K cross-validation