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Use e(selected0) of Lasso Regression in another regression
Use e(selected0) of Lasso Regression in another regression

Hello,

I ran a Lasso Regression and found the best regressors:

rlasso a b c d e f

Assume b c d are selected as best regressors. I can access the list by > di e(selected0) . My question is how I can run another regression and use those selected regressors there

>reg a e(selected0) returns an error.

Thanks.

Sam

BJ Data Tech Solution

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Use e(selected0) of Lasso Regression in another regression

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