[CLASSO] classoselect —— Select the active estimationi results after classifylasso.

Syntax

classoselect [, options]

group(#) use coefficients estimated under certain number of groups

postselection use postselection (unpenalized) coefficients

penalized use penalized coefficients

Description

classoselect alters the active result used by predict, estimates replay and classocoef after classifylasso. By default, post-Lasso coefficients with the BIC-best number of groups are active.

Options

group(#) specifies the number of groups be used to estimate the coefficients.
The default is the best fitted number of group selected by information criterion.
The number must be one of the list group(numlist) specified by classifylasso.

postselection specifies that post-Lasso coefficients be used to plot the graph. That is the default.
Post-Lasso coefficients are calculated by regressing the corresponding model for each estimated group.

penalized specifies that penalized coefficients be used to plot the graph.
Penalized coefficients are those estimated by C-Lasso in the calculation of the additive-multiplication penalty.