def pclas(X_train, y_train, X_test, n_components):
"""
Function to implement the PCLAS procedure
:param X_train: Array of predictors to train the model on
:param y_train: Array of returns corresponding to X_train
:param X_test: Out of sample array of predictors to predict the return on
:param n_components: Number of principal components to be used
:return:
"""
model = Lasso(alpha = 0.1).fit(X_train, y_train)
model = SelectFromModel(model, prefit = True)
X_train = model.transform(X_train)
X_test = model.transform(X_test)
yhat = pcr(X_train, y_train, X_test, n_components)
return (yhat)
