[PDF][PDF] Prediction, model selection, and causal inference with regularized regression

A Ahrens, ME Schaffer, CB Hansen - 2018 - stata.com
A Ahrens, ME Schaffer, CB Hansen
2018stata.com
… But the LASSO’s strength as a prediction technique can also be used to aid causal
inference. … Why can we use the LASSO to select controls even though the LASSO is (in
most scenarios) not model selection consistent? … Why can we use the LASSO to select
controls even though the LASSO is (in most scenarios) not model selection consistent? …
Background
The on-going revolution in data science and machine learning (ML) has not gone unnoticed in economics & social science.
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