We use lasso methods to shrink, select and estimate the network linking the publicly-traded subset of the world's top …

-series data (cvlasso), and theory-driven ('rigorous') penalization for the lasso and square-root lasso for cross-section and panel …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 …