R package name Brief description
glmnet Provides the core functionality for applying the
LASSO method to a wide array of model types
including linear, logistic, multinomial and
poisson regression, among others.
https://cran.r-project.org/web/packages/glmnet/glmnet.pdf
polywog Provides routines for flexible functional form
estimation via basis expansions, with model
selection via the ALASSO. The penalty term and
degree of the basis expansion are estimated using
k-fold cross-validation. Requires glmnet.
https://cran.r-project.org/web/packages/polywog/polywog.pdf
parcor Contains the function adalasso, which computes the
LASSO and ALASSO solutions based on k-fold
cross-validation.
https://www.rdocumentation.org/packages/parcor/versions/0.2-6/topics/adalasso;
https://cran.r-project.org/web/packages/parcor/parcor.pdf