Re: [Gretl-users] Variable selection
Am 16.06.2018 um 13:04 schrieb Riccardo (Jack) Lucchetti:
On Sat, 16 Jun 2018, Sven Schreiber wrote:
> Hi Henrique,
> thanks for this code. This could be quite easily turned into a nice
> function package. What would it take to convince you to do it?
Really very nice. The equivalent for vectors, in two varieties. The
first is a slighly more idiomatic adaptation of Henrique's code, the
other one uses recursion.
Thanks Jack. I think one of your two implementations should eventually
go into the extra.gfn package. I slightly prefer the second one, but
what do you think?
I'm attaching some code with a function that uses your AltPSetMat
function to do the combinatorial regression. (Henrique, I haven't
measured it, but my intuition would be that it is faster to refer to the
variables by their ID numbers instead of their names, so that's what is
done here.) Something like this could become a function package.
And slightly OT about gretl internals: Along the way I've noticed two
things. The first is that the deflist() function doesn't accept a vector
of series IDs as input, in the way that genr-based list construction
like "list L = {1,2}" does; maybe deflist should accept that.
The second thing is that it would be nice to have a generalization of
the varnum() function, to return a vector of series IDs for a list
input. See my workaround helper function listIDs in the file. (This
would be a bit like the generalization of varname to varnames, for example.)
cheers,
sven
Attachments:
- attachment.html (text/html — 2.1 KB)
- Combinatorial_Regression.inp (application/x-gretlscript — 1.3 KB)