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

Author

Listed:
  • Wilbur Townsend

    () (Stanford University)

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.

Suggested Citation

  • Wilbur Townsend, 2017. "ELASTICREGRESS: Stata module to perform elastic net regression, lasso regression, ridge regression," Statistical Software Components S458397, Boston College Department of Economics, revised 16 Apr 2018.
  • Handle: RePEc:boc:bocode:s458397
    Note: This module should be installed from within Stata by typing "ssc install elasticregress". Windows users should not attempt to download these files with a web browser.
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    File URL: http://fmwww.bc.edu/repec/bocode/e/elasticregress.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/e/elasticregress.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/e/elasticregress.ihlp
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    File URL: http://fmwww.bc.edu/repec/bocode/l/lassoregress.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/l/lassoregress.sthlp
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    File URL: http://fmwww.bc.edu/repec/bocode/r/ridgeregress.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/r/ridgeregress.sthlp
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