In an attempt to learn Mata I have translated the LARS package, written for R by Trevor Hastie and Brad Efron, into Mata. The LARS package is an efficient implementation of an entire lasso sequence with the cost of a single least-squares estimation. Mata and R/S+ are incredibly similar in terms of syntax and on the whole can be translated by altering the syntax “wording”, however, there was the occasional need for additional functions. It is certainly not the best approach to learning a new language. I shall describe the new Stata command and apply this approach to model selection to some nutrition data.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Did you know? Each page is provided with a technical contact, in case something is not right with the supplied information. See under "publisher info".