Using the bootstrap and intersecting the supports, we actually get a consistent model estimate, without the consistency condition required by the regular Lasso. We refer to this new procedure as the Bolasso (bootstrap-enhanced least absolute shrinkage operator). Finally, our Bolasso framework could be seen as a voting scheme applied to the supports of the bootstrap Lasso estimates; however, our procedure may rather be considered as a consensus combination scheme, as we keep the (largest) subset of variables on which all regressors agree in terms of variable selection, which is in our case provably consistent and also allows to get rid of a potential additional hyperparameter. … Bootstrap-Enhanced Least Absolute Shrinkage Operator (Bolasso)