Stata implementation of the Friedman, Hastie and Tibshirani (2010, JStatSoft) coordinate descent algorithm for elastic net regression
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README.md

elasticregress

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

Support: https://github.com/wilburtownsend/elasticregress