R_ML_STATA_CV: Stata module to implement machine learning regression in Stata

Giovanni Cerulli

Statistical Software Components from Boston College Department of Economics

Abstract: r_ml_stata_cv is a command for implementing machine learning regression algorithms in Stata 16. It uses the Stata/Python integration (sfi) capability of Stata 16 and allows to implement the following regression algorithms: ordinary least squares, elastic net, tree, boosting, random forest, neural network, nearest neighbor, support vector machine. It provides hyper-parameters' optimal tuning via K-fold cross-validation using greedy search. This command makes use of the Python Scikit-learn API to carry out both cross-validation and prediction.

Language: Stata
Requires: Stata version 16.1
Keywords: machine learning; classification; boosting; elastic net; random forest; neural network; tree; nearest neighbor; support vector machine (search for similar items in EconPapers)
Date: 2022-03-22, Revised 2023-02-17
Note: This module should be installed from within Stata by typing "ssc install r_ml_stata_/cv". 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/r/r_ml_stata_cv.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/r_ml_stata_default.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/g/get_train_test.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/p/pylearn.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/r_ml_stata_cv.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/g/get_train_test.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/r/r_boost.py program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/r_elasticnet.py program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/r_nearestneighbor.py program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/r_neuralnet.py program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/r_randomforest.py program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/r_svm.py program code (text/plain)
http://fmwww.bc.edu/repec/bocode/r/r_tree.py program code (text/plain)
http://fmwww.bc.edu/repec/bocode/e/example_r_ml_stata.do sample file (text/plain)
http://fmwww.bc.edu/repec/bocode/r/r_ml_stata_data_example.dta sample data file (application/x-stata)

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