Lasso

Stata's new lasso tools let you extract real features from mountains of data. With those features, you can do the following:

• Predict outcomes
• 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

Stata gives you the tools to be sure you are finding real features and not just artifacts in a particular sample.

Lasso has so many uses. It has roots in:

• machine-learning
• statistics
• econometrics

This 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.