Cross-Validated Post-Lasso

Provides tools for cross-validated Lasso and Post-Lasso estimation. Built on top of the 'glmnet' package by Friedman, Hastie and Tibshirani (2010) , the main function plasso() extends the standard 'glmnet' output with coefficient paths for Post-Lasso models, while cv.plasso() performs cross-validation for both Lasso and Post-Lasso models and different ways to select the penalty parameter lambda as discussed in Knaus (2021) .