How to get 95% CI for variable chosen by Lasso?

[Vilma Antonov]

Hi!

I'm using the following code:

lassologit outcome i.(var1-var3) age time

* Say Lasso cv indicates ID 142 as the best one
lassoselect id = 142
estimates store cv 

* Then I use this to display the BIC
lassoknots, display(nonzero, bic)

* I select the one with the lowest BIC, lets say ID 127 
lassoselect id = 127
estimates store minBIC 

* Plot cv-lambda vs minBIC lambda
cvplot

* Show odds ratios
lassocoef cv minBIC, display(coef, postselection eform format(%6.2f))

Everything works well and I do get the ORs for the variables selected by the two ID's. However, I do not get the confidence intervals. Any idea how to get these?

[Andrew Musau]

See #4: https://www.statalist.org/forums/for...ollowing-lasso. Run logistic to obtain odds ratios.