Best subset, forward stepwise selection and the Lasso are popular methods for variable selection and estimation of the parameters in a linear model.
Given the sparse setting, Best Subset, Forward Stepwise or Lasso? Analysis and Recommendations Based on Extensive Comparisons by T.Hastie did a simulation to compare the performance of those regression methods in terms of computation time and accuracy.
In 2021 Fall semester, I implemented Julia functions for those regression methods and replicated those simulation results with two classmates (Myungjun Kim and Seungyeop Hyun) of Advanced Statistical Computing course in SNU.