My question is should you use the same algorithm in feature selection as your model?
If I'm using a KNN model for classification should I also use a KNN algo when running feature selection? Or lightGBM algo for feature selection and lightGBM model?
Or is there a best algo for feature selection that you can use those features with any model?
I know there are several different feature engineering techniques I just don't know which techniques should be used with different machine learning algorithms.