Short question regarding econometric procedure: LASSO
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Dear list members,
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?
Thanks in advance and kind regrads,
Jan
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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
Sven,
thank you very much for your answer, I hope this will work out for me, too.
Best,
Jan
-----Ursprüngliche Nachricht-----
Von: Plus.line MailSystem [mailto:cyrus@mailer.plusline.de] Im Auftrag von Sven Schreiber
Gesendet: Mittwoch, 7. Dezember 2016 13:58
An: gretl-users(a)lists.wfu.edu
Betreff: 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
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