Inconsistent results from lasso estimations (even with set seed)

[Gabor Mugge]

Hi everyone,

Could you please let me know why the result of the second estimation differs from the result of the first estimation?

sysuse auto, clear

set seed 1234
lasso probit foreign c.mpg##c.headroom##c.length
predict oo


lasso probit foreign c.mpg##c.headroom##c.length
predict vv


su oo
su vv

I get the following output for them:

su oo

    Variable |        Obs        Mean    Std. dev.       Min        Max
-------------+---------------------------------------------------------
          oo |         74    .2906908    .2184906   .0137683   .7993348

su vv

    Variable |        Obs        Mean    Std. dev.       Min        Max
-------------+---------------------------------------------------------
          vv |         74    .2908553    .2235728    .011889   .8105715

Thank you,
Gabor

[Gabor Mugge]

I'm sorry, this doesn't actually preproduce the problem that I wanted to reproduce.

[Dimitriy V. Masterov]

You need to set the seed again before your second lasso.