CLASSIFYLASSO: Stata module to identify latent group structures via Classifier-Lasso

Wenxin Huang (), Yiru Wang and Lingyun Zhou ()
Additional contact information
Wenxin Huang: Antai College of Economics and Management, Shanghai Jiao Tong University
Lingyun Zhou: PBC School of Finance, Tsinghua University

Statistical Software Components from Boston College Department of Economics

Abstract: classifylasso facilitates practitioners to identifiy latent group structures via Classifier-Lasso. It simultaneously identifies and estimates unobserved parameter heterogeneity in panel data models using penalized techniques. classifylasso displays the group selection information and an estimation table. Estimation results are stored in e() form. Postestimation commands are allowed to generate new variables or to visualize more results.

Language: Stata
Requires: Stata version 17 and reghdfe, ftools from SSC (q.v.)
Keywords: classification; lasso; latent groups (search for similar items in EconPapers)
Date: 2023-10-18
Note: This module should be installed from within Stata by typing "ssc install classifylasso". 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/c/classifylasso.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/classifylasso.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/c/classifylasso.mata program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/classifylasso_p.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/classifylasso_p.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/c/classocoef.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/classocoef.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/c/classogroup.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/classogroup.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/c/classoselect.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/classoselect.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/d/demo.do sample do-file (text/plain)
http://fmwww.bc.edu/repec/bocode/s/saving.dta supplementary data file (application/x-stata)

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