1:13 p.m.
Than you for the comments which are very helpful.
On Fri, 18 Jun 2021 at 18:18, <gretl-users-request(a)gretlml.univpm.it> wrote:
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Today's Topics:
1. Re: Regression Cross-Validation (George Matysiak)
2. Re: Saving excluded observations from a Random sub-sample
(George Matysiak)
3. Re: Regression Cross-Validation (Sven Schreiber)
4. Re: Saving excluded observations from a Random sub-sample
(Sven Schreiber)
5. Re: Saving excluded observations from a Random sub-sample
(Riccardo (Jack) Lucchetti)
6. Re: Regression Cross-Validation (Riccardo (Jack) Lucchetti)
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Date: Fri, 18 Jun 2021 15:05:45 +0200
From: George Matysiak <gmatysiak(a)gmail.com>
Subject: [Gretl-users] Re: Regression Cross-Validation
To: gretl-users(a)gretlml.univpm.it
Message-ID:
<CAEWMk7ucC=+iG0aSd-Usf7=
SeqfoshPEWChJJfpQnaE2dWayvQ(a)mail.gmail.com>
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Is it possible to undertake k-fold cross-validation in estimating
regression equations? Thanks.
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<div dir=3D"ltr"><div class=3D"gmail_default"
style=3D"font-family:tahoma,s=
ans-serif;font-size:small">Is it possible to undertake k-fold
cross-validat=
ion in estimating regression equations? Thanks.<br
clear=3D"all"></div><div=
><div dir=3D"ltr" class=3D"gmail_signature"
data-smartmail=3D"gmail_signatu=
re"><div dir=3D"ltr"><div><div
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Date: Fri, 18 Jun 2021 15:35:33 +0200
From: George Matysiak <gmatysiak(a)gmail.com>
Subject: [Gretl-users] Re: Saving excluded observations from a Random
sub-sample
To: gretl-users(a)gretlml.univpm.it
Message-ID:
<
CAEWMk7th4SsOgC_jmoZ6FhdAmCTdW2ScFxzi0PYcwyUbQSSJmw(a)mail.gmail.com>
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Having selected a Random sub-sample, is it possible to save the excluded
observations as variables? Thanks.
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<div dir=3D"ltr"><div class=3D"gmail_default"
style=3D"font-family:tahoma,s=
ans-serif;font-size:small">Having selected a Random sub-sample, is it
possi=
ble to save the excluded observations as variables? Thanks.<br
clear=3D"all=
"></div><div><div dir=3D"ltr"
class=3D"gmail_signature"
data-smartmail=3D"g=
mail_signature"><div dir=3D"ltr"><div><div
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Date: Fri, 18 Jun 2021 15:51:36 +0200
From: Sven Schreiber <svetosch(a)gmx.net>
Subject: [Gretl-users] Re: Regression Cross-Validation
To: gretl-users(a)gretlml.univpm.it
Message-ID: <d636eebf-a7a7-63c5-54f4-86a3d974d160(a)gmx.net>
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Am 18.06.2021 um 15:05 schrieb George Matysiak:
> Is it possible to undertake k-fold cross-validation in estimating
> regression equations? Thanks.
>
Hi, for regularized LS under Model/Other linear models you get CV. (For
GUI access it could be that you need a post-2021b snapshot, not sure
right now.) If you want to stick to OLS, I guess you could imitate that
by using Ridge with an extremely loose penalty.
Then there are two contributed packages by Artur (Tarassow),
CvDataSplitter and TsCrossValidation - the latter hasn't been updated in
a while, but actually it could be that he is working on a replacement (?).
cheers
sven
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8">
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<body>
<div class=3D"moz-cite-prefix">Am 18.06.2021 um 15:05 schrieb George
Matysiak:<br>
</div>
<blockquote type=3D"cite"
cite=3D"mid:CAEWMk7ucC=3D+iG0aSd-Usf7=3DSeqfoshPEWChJJfpQnaE2dWayvQ@mail.g
=
mail.com">
<meta http-equiv=3D"content-type" content=3D"text/html;
charset=3DUT=
F-8">
<div dir=3D"ltr">
<div class=3D"gmail_default"
style=3D"font-family:tahoma,sans-serif;font-size:small">Is it
possible to undertake k-fold cross-validation in estimating
regression equations? Thanks.<br clear=3D"all">
</div>
<br>
</div>
</blockquote>
<p>Hi, for regularized LS under Model/Other linear models you get
CV. (For GUI access it could be that you need a post-2021b
snapshot, not sure right now.) If you want to stick to OLS, I
guess you could imitate that by using Ridge with an extremely
loose penalty.</p>
<p>Then there are two contributed packages by Artur (Tarassow),
CvDataSplitter and TsCrossValidation - the latter hasn't been
updated in a while, but actually it could be that he is working on
a replacement (?).</p>
<p>cheers</p>
<p>sven=C2=A0 <br>
</p>
</body>
</html>
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Date: Fri, 18 Jun 2021 16:01:26 +0200
From: Sven Schreiber <svetosch(a)gmx.net>
Subject: [Gretl-users] Re: Saving excluded observations from a Random
sub-sample
To: gretl-users(a)gretlml.univpm.it
Message-ID: <132fa31a-3b8f-f011-e9c4-9c7d4791f2ea(a)gmx.net>
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Am 18.06.2021 um 15:35 schrieb George Matysiak:
> Having selected a Random sub-sample, is it possible to save the
> excluded observations as variables? Thanks.
Do you mean the index numbers of the non-selected observations, or do
you mean the values of the variables in the non-selected set? Are you
working in a script or trying this via the GUI?
thanks
sven
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<div class="moz-cite-prefix">Am 18.06.2021 um 15:35 schrieb George
Matysiak:<br>
</div>
<blockquote type="cite"
cite="
mid:CAEWMk7th4SsOgC_jmoZ6FhdAmCTdW2ScFxzi0PYcwyUbQSSJmw@mail.gmail.com">
<meta http-equiv="content-type" content="text/html;
charset=UTF-8">
<div dir="ltr">
<div class="gmail_default"
style="font-family:tahoma,sans-serif;font-size:small">Having
selected a Random sub-sample, is it possible to save the
excluded observations as variables? Thanks.<br clear="all">
</div>
</div>
</blockquote>
<p>Do you mean the index numbers of the non-selected observations,
or do you mean the values of the variables in the non-selected
set? Are you working in a script or trying this via the GUI?</p>
<p>thanks</p>
<p>sven<br>
</p>
</body>
</html>
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Date: Fri, 18 Jun 2021 18:02:36 +0200 (CEST)
From: "Riccardo (Jack) Lucchetti" <p002264(a)staff.univpm.it>
Subject: [Gretl-users] Re: Saving excluded observations from a Random
sub-sample
To: Gretl list <gretl-users(a)gretlml.univpm.it>
Message-ID:
<alpine.DEB.2.22.394.2106181755180.7529@jack-SATELLITE-L850-1L1>
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On Fri, 18 Jun 2021, George Matysiak wrote:
> Having selected a Random sub-sample, is it possible to save the exclude=
d
> observations as variables? Thanks.
I'm not sure I understand what you mean, but I'll give it a shot anyway:=20
if you want to create a dummy variable holding included/excluded=20
observations, there is more than one way to do so: a particularly simple=20
one is to create a series of 1s when subsampling is in effect and then=20
fill the excluded observation with 0s, as in
<hansl>
open data7-24
smpl 100 --random
series selected =3D 1
ols salepric const sqft age city
smpl full
selected =3D misszero(selected)
</hansl>
of course, more sophisticated variants of the above are possible.
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Universit=C3=A0 Politecnica delle Marche
(formerly known as Universit=C3=A0 di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
--8323329-1436478366-1624032162=:7529--
------------------------------
Date: Fri, 18 Jun 2021 18:18:23 +0200 (CEST)
From: "Riccardo (Jack) Lucchetti" <p002264(a)staff.univpm.it>
Subject: [Gretl-users] Re: Regression Cross-Validation
To: Gretl list <gretl-users(a)gretlml.univpm.it>
Message-ID:
<alpine.DEB.2.22.394.2106181809410.7529@jack-SATELLITE-L850-1L1>
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On Fri, 18 Jun 2021, Sven Schreiber wrote:
> Am 18.06.2021 um 15:05 schrieb George Matysiak:
>> Is it possible to undertake k-fold cross-validation in estimating
>> regression equations? Thanks.
>>=20
> Hi, for regularized LS under Model/Other linear models you get CV. (For
> GUI access it could be that you need a post-2021b snapshot, not sure
> right now.) If you want to stick to OLS, I guess you could imitate that
> by using Ridge with an extremely loose penalty.
>
> Then there are two contributed packages by Artur (Tarassow),
> CvDataSplitter and TsCrossValidation - the latter hasn't been updated i=
n
> a while, but actually it could be that he is working on a replacement (=
?).
My advice is to use Artur's excellent code, but if you just want a=20
quick-n-dirty solution to take inspiration from, here's one:
<hansl>
set verbose off
open data7-24
list X =3D const sqft age city
scalar nfolds =3D 8
series fold =3D randgen(i, 1, nfolds)
series prederr =3D 0
loop f =3D 1 .. nfolds
series d =3D (fold !=3D $f)
wls d salepric X --quiet
series prederr +=3D d ? 0 : $uhat
endloop
printf "x-validation criterion (%d random folds) =3D %12.4f\n", nfolds, s=
um(prederr^2)
</hansl>
-------------------------------------------------------
Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Universit=C3=A0 Politecnica delle Marche
(formerly known as Universit=C3=A0 di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
-------------------------------------------------------
--8323329-282290097-1624033109=:7529--
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