Intro to Econometrics
Lasso regression is a statistical method used for variable selection and regularization in linear regression models, which helps prevent overfitting by adding a penalty equivalent to the absolute value of the magnitude of coefficients. This method works by shrinking some coefficients to zero, effectively removing less important variables from the model. As a result, lasso regression enhances the model's interpretability and prediction accuracy, making it a popular choice in situations where there are many predictors.
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