Inference after lasso model selection
David Drukker ()
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David Drukker: StataCorp LP
London Stata Conference 2019 from Stata Users Group
The increasing availability of high-dimensional data and increasing interest in more realistic functional forms have sparked a renewed interest in automated methods for selecting the covariates to include in a model. I discuss the promises and perils of model selection and pay special attention to estimators that provide reliable inference after model selection. I will demonstrate how to use Stata 16's new features for double selection, partialing out, and cross-fit partialing out to estimate the effects of variables of interest while using lasso methods to select control variables.
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Persistent link: https://EconPapers.repec.org/RePEc:boc:usug19:25
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