The RATS Software Forum

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,

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