Stata’s new lasso tools let you extract real features from mountains of data. With those features, you can
Characterize groups and patterns in your data
Search over highly nonlinear potential relationships
Perform inference on covariates of interest
Handle endogenous covariates or unobserved confounders
We give you the tools to be sure you are finding real features and not just artifacts in a particular sample.
Why so many uses?
Lasso has its roots in
Which is to say, it has established capabilities in real-world applications, the rigor of known statistical properties, and the promise of yet more applications.
You can use it on smaller datasets too.