lasso, ridge regression and elastic net regression
To install elasticregress, type
ssc install elasticregress into the Stata terminal.
The elasticregress package is a Stata implementation of the Friedman, Hastie and Tibshirani (2010, JStatSoft) coordinate descent algorithm for elastic net regression and its famous special cases: lasso and ridge regression. These regression estimates tend to have better out-of-sample fit than those from ordinary least squares. When tuning parameters are not provided by the user, elasticregress can find them with K-fold cross-validation.
Keywords: lasso, ridge regression, elastic net, regularized regression, machine learning, linear regression
Requires: Stata version 13.0
Distribution date: 20170809
Author: Wilbur Townsend, Stanford University