Dear Stata Users,

I am running a regression through the lasso command in Stata 16. My aim is to use a data-driven approach to find a more parsimonious model.

This is the command

. lasso logit event1 (ib1.ukborn ib1.sex c.agen ib1.educ2) i.tenure3 i.save i.contr2 i.finnow2 i.finfut i.tercile i.means_ben
> efits22 [iw=weightres4] if agen>29&agen<36&tercile<6&jbstat!=7&evunion==2&ten ure3<4&save<2&finfut<4&finnow2<4&mach2!=., selectio
> n(adaptive)

These are the two first lines of the output.

Lasso step 1 of 2:
note: 2.ukborn dropped because it is constant
note: 2.educ2 dropped because it is constant

I do not understand why the levels of these variables, which should be forced to be in the model,are dropped.

They are generally estimated by logit regressions (without lasso).

Thank you in advance.
Lydia