I've been working lately on a lasso package for gretl. It's not at
the point of uploading for approval (among other things, it doesn't
have a GUI hook yet) but I'd be grateful if anyone is willing to try
some testing and give me feedback.
You can find everything (current draft package, PDF doc, several
examples) at
http://ricardo.ecn.wfu.edu/pub/gretl/lasso/
and you can install the package from within gretl via
pkg install
http://ricardo.ecn.wfu.edu/pub/gretl/lasso/lasso.zip
BUT, please note: for this to work right (if at all) it needs
current gretl git or snapshot.
Allin