LASSO estimation

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ainhoa
Posts: 3
Joined: Thu Oct 31, 2024 3:12 am

LASSO estimation

Unread post by ainhoa »

Hi,

I am looking for RATS code to estimate a model using LASSO.

Reference: R. Tibshirani, Regression shrinkage and selection via the lasso. Journal of the Royal Statistical Society. Series B (Methodological). Vol. 58 (1) (1996) 267–288.

Thanks,
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TomDoan
Posts: 7825
Joined: Wed Nov 01, 2006 4:36 pm

Re: LASSO estimation

Unread post by TomDoan »

See https://www.estima.com/forum/viewtopic. ... 458#p19458.
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