dsregress controls selected

[Scott Rick]

Hi. This is the first time I am using the dsregress command. I included 68 controls of which only 22 were selected. Is there anyway for me to know which 22 were selected and why the remaining were not selected here?

Thanks.

 dsregress rate_con_avg7day stepone, controls($demo $health $healthsys $econ)

Estimating lasso for rate_con_avg7day using plugin
Estimating lasso for stepone using plugin

Double-selection linear model         Number of obs               =      1,019
                                      Number of controls          =         68
                                      Number of selected controls =         22
                                      Wald chi2(1)                =     220.93
                                      Prob > chi2                 =     0.0000

------------------------------------------------------------------------------
             |               Robust
rate_con_a~y | Coefficient  std. err.      z    P>|z|     [95% conf. interval]
-------------+----------------------------------------------------------------
     stepone |   4.146641   .2789798    14.86   0.000     3.599851    4.693431
------------------------------------------------------------------------------
Note: Chi-squared test is a Wald test of the coefficients of the variables
      of interest jointly equal to zero. Lassos select controls for model
      estimation. Type lassoinfo to see number of selected variables in each
      lasso.

[Andrew Musau]

display e(controls_sel)

See

ereturn list

after running the command to view the stored results. For your second question, the estimator uses Lasso to select variables and then estimates a model based on the selected variables. If you want to include all variables, it does not make sense to use dsregress, just use regress. If you are not familiar with Lasso, start at

help lasso intro

[Scott Rick]

Thanks Andrew Musau. I greatly appreciate it.