lasso

Fit a bounded L1-penalized linear model using a fixed penalty level.

When to use

How do I shrink coefficients and perform basic linear regularization in one command?

Syntax

lasso linear y x1 x2 [, alpha(<num>) noconstant]

Examples

lasso linear wage educ exper
lasso linear wage educ exper, alpha(0.25)
lasso linear wage educ exper, noconstant

See also

• Command Reference Index
• User Guide
• In-App Help System