py-why / py-why/EconML

Catch exception in WeightedLassoCV and re-direct to WeightedMultiTaskLassoCV

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@moprescu is already working on this.

Since Nov 26, 2019.

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Description

When one calls WeightedLassoCV with a multi-dimensional y then it throws an error

ValueError: For multi-task outputs, use MultiTaskLassoCV

This should be changed to:

ValueError: For multi-task outputs, use WeightedMultiTaskLassoCV

One way to do this would be to wrap the following line:
https://github.com/microsoft/EconML/blob/73964d37965e98b22ce423cdfed6adbe26e1f448/econml/sklearn_extensions/linear_model.py#L414
inside a try-catch statement and cathc the above exact value error message. Then throw the new error message when that happens.

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