This article introduces lassopack, a suite of programs for regularized regression in Stata. lassopack implements lasso, square-root lasso, elastic net, ridge regression, adaptive lasso and post-estimation OLS. The methods are suitable for the high-dimensional setting where the number of...

The vast majority of spatial econometric research relies on the assumption that the spatial network structure is known a priori. This study considers a two-step estimation strategy for estimating the n(n..1) interaction effects in a spatial autoregressive panel model where the spatial dimension...

The vast majority of spatial econometric research relies on the assumption that the spatial network structure is known a priori. This study considers a two-step estimation strategy for estimating the <em>n(n-1)</em> interaction effects in a spatial autoregressive panel model where the spatial dimension...

This article introduces lassopack, a suite of programs for regularized regression in Stata. lassopack implements lasso, square-root lasso, elastic net, ridge regression, adaptive lasso and post-estimation OLS. The methods are suitable for the high-dimensional setting where the number of...

The vast majority of spatial econometric research relies on the assumption that the spatial network structure is known a priori. This study considers a two-step estimation strategy for estimating the n(n..1) interaction effects in a spatial autoregressive panel model where the spatial dimension...