Coding and Packages

Coding

To be updated …

Packages in Stata

hysi package

Hybrid Confidence Intervals for LASSO Selection

The hysi package implements the Hybrid Confidence Intervals (HySI) method in Stata for valid inference after LASSO-based model selection. The method, proposed by McCloskey (2024), combines the PoSI framework with a selective intervals approach by Lee et al. (2016) to construct confidence intervals that remain valid regardless of the model selected.

Installation

To install the hysi package in Stata, run:

. net install hysi, replace from("https://raw.githubusercontent.com/kkushnarev/hysi/main/")