Changing lasso settings

[Sayan Sarkar]

Dear fellow Stata users,

I am running lasso regressions using such routines as lasso2 and cvlasso.
My understanding is that Stata employes a default p-value cutoff of .05.
Can anyone advise if there is a provision to change the cutoffs and if so, how to implement this change.

Thanks!

[Achim Ahrens]

The lasso doesn't use a "p-value cutoff." You might be mixing up the lasso with stepwise regression (see "help stepwise"). If you want to learn about how the lasso works, here are a few references:

Iassopack: Model Selection and Prediction with Regularized Regression in Stata, IZA Working Paper with Mark Schaffer and Chris Hansen. Available here.

James, G., Witten, D., Hastie, T., & Tibshirani, R. (2014). An Introduction to Statistical Learning: with Applications in R.