Hello,

I am using the lasso2 package for model building and variable selection and have some questions about the differences between rlasso and lasso2 commands.

The lasso2 command takes a long time to converge when a large number of variables are included, while the rlasso command is nearly instantaneous. I am a bit confused why this would be.

Here's a reproducible illustration:

Code:
sysuse auto, clear

foreach var in mpg rep78 headroom trunk weight length turn displacement gear_ratio {

    gen `var'2 = `var' ^2 
    gen `var'3 = `var' ^3 

} //Create a bunch of new variables for demonstration

eststo lasso1: lasso2 price mpg* rep78* headroom* trunk* weight* length* turn* displacement* gear_ratio*
    //takes a while to converge
    
eststo lasso2: rlasso price mpg* rep78* headroom* trunk* weight* length* turn* displacement* gear_ratio*, displayall
    //instant
On a related note, I am trying to wrap my head around the different selected models. In the auto case, we have HUGE differences in the output:

Code:
    lasso2, lic(ebic) //model selected by EBIC NO VARIALBES?
    lasso2, lic(aicc) //model selected by AICC
Can anyone point me in the direction of guidance on how to determine for my case which might be the best to use?

Thanks!