I'm trying to use a LASSO model for prediction, and I need to estimate standard errors. Surely someone has already written a  package to do this. But as far as I can see, none of the packages on CRAN that do predictions using a LASSO will return standard errors for those predictions.

So my question is: Is there a package or some R code available to compute standard errors for LASSO predictions?

Kyung et al. (2010), "Penalized regression, standard errors, & Bayesian lassos", Bayesian Analysis , 5, 2, suggest that there might not be a consensus on a statistically valid method of calculating standard errors for the lasso predictions. Tibshirani seems to agree (slide 43) that standard errors are still an unresolved issue.