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ELASTICREGRESS: Stata module to perform elastic net regression, lasso regression, ridge regression

Wilbur Townsend ()

Statistical Software Components from Boston College Department of Economics

Abstract: elasticregress calculates an elastic net-regularized regression: an estimator of a linear model in which larger parameters are discouraged. This estimator nests the LASSO and the ridge regression, which can be estimated by setting alpha equal to 1 and 0 respectively. lassoregress estimates the LASSO; it is a convenience command equivalent to elasticregress with the option alpha(1). ridgeregress estimates a ridge regression; it is a convenience command equivalent to elasticregress with the option alpha(0). elasticregress implements the coordinate descent algorithm in Friedman, Hastie and Tibshirani (J.Stat.Software, 2008) to produce very efficient estimates of the LASSO, of the ridge regression and of a generalization of the two. The algorithm used is the 'covariance updates' algorithm presented in Section 2 of that paper, except that it does not exploit sparsity in the covariates.

Language: Stata
Requires: Stata version 13
Keywords: regression; elastic net regression; ridge regression; lasso (search for similar items in EconPapers)
Date: 2017-09-13, Revised 2018-04-16
Note: This module should be installed from within Stata by typing "ssc install elasticregress". 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/e/elasticregress.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/e/elasticregress.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/e/elasticregress.ihlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/l/lassoregress.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/l/lassoregress.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/r/ridgeregress.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/ridgeregress.sthlp help file (text/plain)

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