plasso

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Software:5979329



CRANplassoMaRDI QIDQ5979329

Cross-Validated (Post-) Lasso

Glaisner Stefan

Last update: 3 December 2023

Software version identifier: 0.1.0, 0.1.1, 0.1.2


Copyright license: GNU General Public License, version 3.0

Built on top of the 'glmnet' library by Friedman, Hastie and Tibshirani (2010) <doi:10.18637/jss.v033.i01>, the 'plasso' package follows Knaus (2022) <doi:10.1093/ectj/utac015> and comes up with two functions that estimate least squares Lasso and Post-Lasso models. The plasso() function adds coefficient paths for a Post-Lasso model to the standard 'glmnet' output. On top of that cv.plasso() cross-validates the coefficient paths for both the Lasso and Post-Lasso model and provides optimal hyperparameter values for the penalty term lambda.