Re: [Gretl-users] Short question regarding econometric procedure: LASSO
Am 07.12.2016 um 12:51 schrieb Jan Tille:
please allow my blunt question, I have seen that there Gretl does
not
have a built in functionality for LASSO regressions (which is possibly
quite complex to implement), but does anyone know, whether there is a
function package available?
Yes I know, or at least I'm pretty sure, that such a package does not
exist yet.
In the short term I would use an R package and write a little
gretl/hansl wrapper for it. I have just recently discovered the
wonderful feature of using (simple) R functions in hansl -- see section
36.7 "Further use of the R library" in the gretl manual. This makes
wrapping an R package much easier, and it really worked for me.
In the longer term of course it would be "nice to have" in gretl.
cheers,
sven