I wonder whether the response variable needs to be normalized before LASSO estimation (I am using the lars package in R to perform LASSO estimation). My guess is that only right-hand side variables need to be normalized, is this correct?
For the sake of interpretation, I would prefer to only normalize right-hand side variables and leave out the response variable. If this is fine, I guess I need to normalize the data myself as the argument 'normalize' in the lars package performs normalization on all variables including the response variable - at least I believe so.
Thanks for help!