Is it possible to run a hypothesis test to test for a significant difference in calculated coefficients of the same independent variable in two different subsets of one population, after you have performed a LASSO selection process on each subset individually. (Assuming the variable is selected as relevant in both subsets)

For example, if I had run a LASSO regression for Males in a population and then for Females in a population, could I then test for a statistically significant difference in any of the independent variables selected in both groups? If possible, how should one proceed with this in R?



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