r-plasso

Built on top of the 'glmnet' library by Friedman, Hastie and Tibshirani (2010) <doi:10.18637/jss.v033.i01>, the 'plasso' package follows Knaus (2022) <doi:10.1093/ectj/utac015> and comes up with two functions that estimate least squares Lasso and Post-Lasso models. The plasso() function adds coefficient paths for a Post-Lasso model to the standard 'glmnet' output. On top of that cv.plasso() cross-validates the coefficient paths for both the Lasso and Post-Lasso model and provides optimal hyperparameter values for the penalty term lambda.