Is LASSO regression implemented in Statsmodels? I would love to use a linear LASSO regression within statsmodels, so to be able to use the 'formula' notation for writing the model, that would save me quite some coding time when working with many categorical variables, and their interactions. However, it seems like it is not implemented yet in stats models?
The question-asker resorted to scikit-learn until now, but statsmodels has just come out with its implementation of Lasso regression. The docs here are pretty self-explanatory and concise.