dsregress or pdslasso

[Nadia Ahm]

I am attempting to use lasso regression in Stata 16 for the first time. I do understand the ds function but I am wondering what is the difference between dsregress and the new pdslasso package for making inferences?

Also, is there any way that I can add sampling weights in the dsregress syntax?

Thanks.

[Adrien Bouguen]

Hi,

I don't think you can use weigth with dsreg. My advise would be to simply extract the selected covariates and re-estimate using a usual OLS model. e.g

dsregress y t, controls(x1 x2 x3)

reg y t `e(controls)' [pw=w]

[Adrien Bouguen]

Hi,

I don't think you can use weigth with dsreg. My advise would be to simply extract the selected covariates and re-estimate using a usual OLS model. e.g

dsregress y t, controls(x1 x2 x3)

reg y t `e(controls)' [pw=w]

[Nadia Ahm]

Thanks for the advice