Hello,
I would like to do the OLS after variables selection by LASSO. Lasso selected about 70 variables. How could I keep these variables, drop other unselected variables, so that I could do the following step?
Thank you very much!
I would like to do the OLS after variables selection by LASSO. Lasso selected about 70 variables. How could I keep these variables, drop other unselected variables, so that I could do the following step?
Thank you very much!
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