Hello all!
I am attempting to use LASSO for selecting a time series probit model for forecasting the probability of recession. I have created lagged values of all of my dependent variables, and my independent variable is NBER recession.
My current issue is figuring out how to split up my data into a training set and a testing set. How would I do this and then apply the LASSO framework? I would like to split my data into training pre 2000 and testing for 2000 and onward. I would like to select the model with the best out of sample root mean square error. I've been trying to comb through the LASSO reference manual for guidance, but to no avail. Any help would be greatly appreciated.
Also please let me know if there is any important information I have left out. This is my first time posting here. Thank you!
I am attempting to use LASSO for selecting a time series probit model for forecasting the probability of recession. I have created lagged values of all of my dependent variables, and my independent variable is NBER recession.
My current issue is figuring out how to split up my data into a training set and a testing set. How would I do this and then apply the LASSO framework? I would like to split my data into training pre 2000 and testing for 2000 and onward. I would like to select the model with the best out of sample root mean square error. I've been trying to comb through the LASSO reference manual for guidance, but to no avail. Any help would be greatly appreciated.
Also please let me know if there is any important information I have left out. This is my first time posting here. Thank you!
