I am dealing with the LASSO regression in (pure AR-regressions) context. I have a lot of observations (around 4000). Therefore I would try to use the train/validation/test method. The idea was to train the data, lets say on the first 2500 observations, then using 500 to determine the Tuning Paramter and then applying a rolling window on the test set.
After I determined my tuning Parameter, should I estimate the model on the sample of train and validation set and then applying the rolling window or do I have to use only the train set ?