About

Acknowledgements

We thank Alexandre Belloni, who has provided MATLAB code for the square-root lasso, and Sergio Correia for supporting us with the use of ftools. We also thank Christopher F Baum, Jan Ditzen, Martin Spindler, as well as participants of the 2018 London Stata Conference and the 2018 Swiss Stata Users Group meeting for many helpful comments and suggestions. All remaining errors are our own.

Authors

Achim Ahrens, Economic and Social Research Institute, Ireland

Christian B Hansen, University of Chicago, USA

Mark E Schaffer, Heriot-Watt University, UK

Issues and questions

If you have encountered any issues or have questions, contact us via email or via Statalist. If you have a question that could be of general interest, please consider posting on Statalist. Feel free to tag us or alert us to the post.

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The Stata Lasso Page is maintained by Achim Ahrens. Last updated: 5 May 2019