Lasso for binary outcome

[Chen Chen]

I am using lassopack, do I need to specify anything if my outcome is binary?
Thanks!

[Matthew J. Baker]

Chen Chen --

I'm not sure how lassopack works, but there are some interesting/complicated issues with using a Lasso and binary outcomes (for example, with a logistic model). I ran into some problems with this in the course of writing this paper. I provide some documentation and methods that go along with the paper here.

Hope that helps and I'd be happy to discuss further if you're interested.

Matthew J. Baker