Lambda tunning

[LeonardoMC]

Hi,

I'm working with a time series dataset and, in order to implement a Lasso estimation, I wanted to do a tunning for the lambda parameter. My question is:

there is any native option on eviews for doing that, respecting the chronological order of the dataset during the Cross-validation test?

Thanks for your help.

[EViews Matt]

Hello,

You can perform a Lasso regression as a special case using EViews' ENET estimator. The documentation has all the details, but you can easily evaluate multiple lambda values as part of the estimation.