KRLS: Stata module to perform Kernel–Based Regularized Least Squares

Jeremy Ferwerda, Jens Hainmueller and Chad Hazlett ()
Additional contact information
Chad Hazlett: MIT

Statistical Software Components from Boston College Department of Economics

Abstract: krls implements Kernel-Based Regularized Least Squares (KRLS), a machine learning method described in Hainmueller and Hazlett (2013) that allows users to solve regression and classification problems without manual specification search and strong functional form assumptions. The flexible KRLS estimator learns the functional form from the data and thereby protects inferences against misspecification bias. Yet, it nevertheless allows for interpretability and inference in ways similar to ordinary regression models. In particular, KRLS provides closed-form estimates for the predicted values, variances, and the pointwise partial derivatives that characterize the marginal effects of each independent variable at each data point in the covariate space. KRLS is thus a convenient and powerful alternative for problems requiring regression-based analyses. For more information see Jeremy Ferwerda, Jens Hainmueller, Chad J. Hazlett (2017). Kernel-Based Regularized Least Squares in R (KRLS) and Stata (krls) Journal of Statistical Software, 79(3), 1-26. doi:10.18637/jss.v079.i03

Language: Stata
Requires: Stata version 11
Keywords: regularized least squares; machine learning; kernel methods (search for similar items in EconPapers)
Date: 2013-09-23, Revised 2015-03-06
Note: This module should be installed from within Stata by typing "ssc install krls". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/k/krls.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/k/krls.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/k/krls_p.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/g/growthdata.dta sample data file (application/x-stata)

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