This synthetic data is taken from the linear interaction simulations from
the higlasso paper. The data generating model is:
$$Y = X_1 + X_2 + X_3 + X_4 + X_5 + X_1 X_2 + X_1 X_3 + X_2 X_3$$
$$ + X_1 X_4 + X_2 X_4 + X_3 X_4 + X_1 X_5$$
$$+ X_2 X_5 + X_3 X_5 + X_4 X_5 + \epsilon$$