Is Using Lasso only for feature selection a good idea ?

07 July 2019 1 8K Report

Is it a good idea to only perform Lasso for feature selection ? For eg perform Lasso for feature selection before building a OLS Regression Model.

David Eugene Booth

The question is do you want to predict or explain with your final model? See the references in the two attached papers for details. Best, D. Booth

If you decide on prediction the answer is yes.

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