Dear all,

I am trying to run an adaptive Lasso where I want to input my choice of the penalty parameter lambda. Basically, I want to obtain the lambda from Cross validation in the first stage, fix the choice of my lambda, obtain the corresponding estimated coefficients for weights and then run the second step of the adaptive lasso without changing the lambda. I tried looking through the documentation of the lasso command but I don't see any option of executing adaptive lasso in the format I mentioned here. Any suggestions?

I am fairly new to using Stata for Lasso, so I might be missing something obvious.