Stata's new lasso tools let you extract real features from mountains of data. With those features, you can do the following:

  • Predict outcomes
  • Characterize groups and patterns in your data
  • Search over highly nonlinear potential relationships
  • Perform inference on covariates of interest
  • Handle endogenous covariates or unobserved confounders

Stata gives you the tools to be sure you are finding real features and not just artifacts in a particular sample.

Lasso has so many uses. It has roots in:

  • machine-learning
  • statistics
  • econometrics

This is to say, it has established capabilities in real-world applications, the rigor of known statistical properties, and the promise of yet more applications.

You can use it on smaller datasets too.

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