Hi all,

I'm running into a very bizarre issue while running the -lasso linear- command. I've been using this command for a while, and it only started happening recently.

I'm using -lasso linear- in order to select a subset of variables, while always including a few variables of interest: let's call them A, B and C. I select variables within two blocks of variables listed within macros $D and $E. I run:

Code:
 lasso linear (c.A i.B i.C) $D $E , nolog rseed(123) selection(plugin)
The selection occurs without an error message, but A is never included in the selected variables. However, A does get selected when I remove $E. What may be going on? Some sort of collinearity, perhaps? If so, there would surely be an error message, and how do I explain the fact that this used to work well?