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CLSP: Stata module providing Convex Least Squares Programming (CLSP) is a modular two-step estimator for solving underdetermined, ill-posed, or structurally constrained least-squares problems

Author

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  • Ilya Bolotov

    (Prague University of Economics and Business)

Programming Language

Abstract

Convex Least Squares Programming (CLSP) is a modular two-step estimator for solving underdetermined, ill-posed, or structurally constrained least-squares problems. It combines pseudoinverse-based estimation with convex-programming correction methods inspired by Lasso, Ridge, and Elastic Net to ensure numerical stability, constraint enforcement, and interpretability. The package also provides numerical stability analysis and CLSP-specific diagnostics, including partial R^2, normalized RMSE (NRMSE), Monte Carlo t-tests for mean NRMSE, and condition-number-based confidence bands.

Suggested Citation

  • Ilya Bolotov, 2026. "CLSP: Stata module providing Convex Least Squares Programming (CLSP) is a modular two-step estimator for solving underdetermined, ill-posed, or structurally constrained least-squares problems," Statistical Software Components S459568, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:s459568
    Note: This module should be installed from within Stata by typing "ssc install clsp". 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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    File URL: http://fmwww.bc.edu/repec/bocode/c/clsp.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/c/clsp.sthlp
    File Function: help file
    Download Restriction: no
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