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I have the same features and target variable in different countries (features are the same but the values are different). I would like to select the best features with the constrain that they are the same in all groups(countries in my case).

I wanted to use Lasso for that but I don't see how I can force it give the same features in all countries. I looked into MultiTask lasso as well but the feature values are not the same in my case (just the feature name is the same)

kjetil b halvorsen
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    What about putting all the countries in the same dataset? You might add some dummy variables or interactions where you think there would be differences across countries. – Richard Hardy Nov 08 '22 at 10:46
  • Maybe have a look at https://stats.stackexchange.com/questions/373890/separate-models-vs-flags-in-the-same-model/373909#373909 – kjetil b halvorsen Nov 14 '22 at 01:41

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