Code:
import delim "https://raw.githubusercontent.com/synth-inference/synthdid/master/data/california_prop99.csv", clear qui { egen id = group(state) // makes a unique ID xtset id year, y // We now have yearly panel data drop state treated // irrelevant for our purposes rename packs sale // I didn't like the original variable name greshape wide sale, j(id) i( year) // Note that I use greshape, but feel free to use normal reshape tsset year, y loc stub sale } qui cvlasso `stub'3 sale1 sale2 sale4-sale39 if year < 1989, roll h(2) lglmnet predict cf, lse noi
Code:
mat l A
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