ELASTICREGRESS: Stata module to perform elastic net regression, lasso regression, ridge regression
Wilbur Townsend ()
Statistical Software Components from Boston College Department of Economics
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.
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.
References: Add references at CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed
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)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s458397
Ordering information: This software item can be ordered from
Access Statistics for this software item
More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().