---------------------------------------------------------------------------------------------------------------------------------- help rlasso lassopack v1.4.2 ---------------------------------------------------------------------------------------------------------------------------------- Title rlasso -- Program for lasso and sqrt-lasso estimation with data-driven penalization Syntax rlasso depvar regressors [weight] [if exp] [in range] [ , sqrt partial(varlist) pnotpen(varlist) psolver(string) norecover noconstant fe noftools robust cluster(varlist) bw(int) kernel(string) center xdependent numsim(int) prestd tolopt(real) tolpsi(real) tolzero(real) maxiter(int) maxpsiiter(int) maxabsx lassopsi corrnumber(int) lalternative gamma(real) maq c(real) c0(real) supscore ssnumsim(int) testonly seed(real) displayall postall ols verbose vverbose ] Note: the fe option will take advantage of the ftools package (if installed) for the fixed-effects transform; the speed gains using this package can be large. See help ftools or click on ssc install ftools to install. General options Description ---------------------------------------------------------------------------------------------------------------------------- sqrt use sqrt-lasso (default is standard lasso) noconstant suppress constant from regression (cannot be used with aweights or pweights) fe fixed-effects model (requires data to be xtset) noftools do not use FTOOLS package for fixed-effects transform (slower; rarely used) partial(varlist) variables partialled-out prior to lasso estimation, including the constant (if present); to partial-out just the constant, specify partial(_cons) pnotpen(varlist) variables not penalized by lasso psolver(string) override default solver used for partialling out (one of: qr, qrxx, lu, luxx, svd, svdxx, chol; default=qrxx) norecover suppress recovery of partialled out variables after estimation. robust lasso penalty loadings account for heteroskedasticity cluster(varlist) lasso penalty loadings account for clustering; both standard (1-way) and 2-way clustering supported bw(int) lasso penalty loadings account for autocorrelation (AC) using bandwidth int; use with robust to account for both heteroskedasticity and autocorrelation (HAC) kernel(string) kernel used for HAC/AC penalty loadings (one of: bartlett, truncated, parzen, thann, thamm, daniell, tent, qs; default=bartlett) center center moments in heteroskedastic and cluster-robust loadings lassopsi use lasso or sqrt-lasso residuals to obtain penalty loadings (psi) (default is post-lasso) corrnumber(int) number of high-correlation regressors used to obtain initial residuals; default=5; if =0, then depvar is used in place of residuals prestd standardize data prior to estimation (default is standardize during estimation via penalty loadings) seed(real) set Stata's random number seed prior to xdep and supscore simulations (default=leave state unchanged) Lambda Description ---------------------------------------------------------------------------------------------------------------------------- xdependent penalty level is estimated depending on X numsim(int) number of simulations used for the X-dependent case (default=5000) lalternative alternative (less sharp) lambda0 = 2c*sqrt(N)*sqrt(2*log(2*p/gamma)) (sqrt-lasso = replace 2c with c) gamma(real) "gamma" in lambda0 function (default = 0.1/log(N); cluster-lasso = 0.1/log(N_clust)) maq (HAC/AC with truncated kernel only) "gamma" in lambda0 function = 0.1/log(N/(bw+1)); mimics cluster-robust c(real) "c" in lambda0 function (default = 1.1) c0(real) (rarely used) "c" in lambda0 function in first iteration only when iterating to obtain penalty loadings (default = 1.1) Optimization Description ---------------------------------------------------------------------------------------------------------------------------- tolopt(real) tolerance for lasso shooting algorithm (default=1e-10) tolpsi(real) tolerance for penalty loadings algorithm (default=1e-4) tolzero(real) minimum below which coeffs are rounded down to zero (default=1e-4) maxiter(int) maximum number of iterations for the lasso shooting algorithm (default=10k) maxpsiiter(int) maximum number of lasso-based iterations for penalty loadings (psi) algorithm (default=2) maxabsx (sqrt-lasso only) use max(abs(x_ij)) as initial penalty loadings as per Belloni et al. (2014) Sup-score test Description ---------------------------------------------------------------------------------------------------------------------------- supscore report sup-score test of statistical significance testonly report only sup-score test; do not estimate lasso regression ssgamma(real) test level for conservative critical value for the sup-score test (default = 0.05, i.e., 5% significance level) ssnumsim(int) number of simulations for sup-score test multiplier bootstrap (default=500; 0 => do not simulate) Display and post Description ---------------------------------------------------------------------------------------------------------------------------- displayall display full coefficient vectors including unselected variables (default: display only selected, unpenalized and partialled-out) postall post full coefficient vector including unselected variables in e(b) (default: e(b) has only selected, unpenalized and partialled-out) ols post OLS coefs using lasso-selected variables in e(b) (default is lasso coefs) verbose show additional output vverbose show even more output dots show dots corresponding to repetitions in simulations (xdep and supscore) ---------------------------------------------------------------------------------------------------------------------------- Postestimation: predict [type] newvar [if] [in] [ , xb u e ue xbu resid lasso noisily ols ] predict is not currently supported after fixed-effects estimation. Options Description ---------------------------------------------------------------------------------------------------------------------------- xb generate fitted values (default) residuals generate residuals e generate overall error component e(it). Only after fe. ue generate combined residuals, i.e., u(i) + e(it). Only after fe. xbu prediction including fixed effect, i.e., a + xb + u(i). Only after fe. u fixed effect, i.e., u(i). Only after fe. noisily displays beta used for prediction. lasso use lasso coefficients for prediction (default is posted e(b) matrix) ols use OLS coefficients based on lasso-selected variables for prediction (default is posted e(b) matrix) ---------------------------------------------------------------------------------------------------------------------------- Replay: rlasso [ , displayall ] Options Description ---------------------------------------------------------------------------------------------------------------------------- displayall display full coefficient vectors including unselected variables (default: display only selected, unpenalized and partialled-out) ---------------------------------------------------------------------------------------------------------------------------- rlasso may be used with time-series or panel data, in which case the data must be tsset or xtset first; see help tsset or xtset. aweights and pweights are supported; see help weights. pweights is equivalent to aweights + robust. All varlists may contain time-series operators or factor variables; see help varlist. Contents Description Estimation methods Penalty loadings Sup-score test of joint significance Computational notes Miscellaneous Version notes Examples of usage Saved results References Website Installation Acknowledgements Citation of lassopack Description rlasso is a routine for estimating the coefficients of a lasso or square-root lasso (sqrt-lasso) regression where the lasso penalization is data-dependent and where the number of regressors p may be large and possibly greater than the number of observations. The lasso (Least Absolute Shrinkage and Selection Operator, Tibshirani 1996) is a regression method that uses regularization and the L1 norm. rlasso implements a version of the lasso that allows for heteroskedastic and clustered errors; see Belloni et al. (2012, 2013, 2014, 2016). For an overview of rlasso and the theory behind it, see Ahrens et al. (2020) The default estimator implemented by rlasso is the lasso. An alternative that does not involve estimating the error variance is the square-root-lasso (sqrt-lasso) of Belloni et al. (2011, 2014), available with the sqrt option. The lasso and sqrt-lasso estimators achieve sparse solutions: of the full set of p predictors, typically most will have coefficients set to zero and only s<<p will be non-zero. The "post-lasso" estimator is OLS applied to the variables with non-zero lasso or sqrt-lasso coefficients, i.e., OLS using the variables selected by the lasso or sqrt-lasso. The lasso/sqrt-lasso and post-lasso coefficients are stored in e(beta) and e(betaOLS), respectively. By default, rlasso posts the lasso or sqrt-lasso coefficients in e(b). To post in e(b) the OLS coefficients based on lasso- or sqrt-lasso-selected variables, use the ols option. Estimation methods rlasso solves the following problem min 1/N RSS + lambda/N*||Psi*beta||_1, where RSS = sum(y(i)-x(i)'beta)^2 denotes the residual sum of squares, beta is a p-dimensional parameter vector, lambda is the overall penalty level, ||.||_1 denotes the L1-norm, i.e., sum_i(abs(a[i])); Psi is a p by p diagonal matrix of predictor-specific penalty loadings. Note that rlasso treats Psi as a row vector. N number of observations If the option sqrt is specified, rlasso estimates the sqrt-lasso estimator, which is defined as the solution to: min sqrt(1/N*RSS) + lambda/N*||Psi*beta||_1. Note: the above lambda differs from the definition used in parts of the lasso and elastic net literature; see for example the R package glmnet by Friedman et al. (2010). The objective functions here follow the format of Belloni et al. (2011, 2012). Specifically, lambda(r)=2*N*lambda(GN) where lambda(r) is the penalty level used by rlasso and lambda(GN) is the penalty level used by glmnet. rlasso obtains the solutions to the lasso sqrt-lasso using coordinate descent algorithms. The algorithm was first proposed by Fu (1998) for the lasso (then referred to as "shooting"). For further details of how the lasso and sqrt-lasso solutions are obtained, see lasso2. rlasso first estimates the lasso penalty level and then uses the coordinate descent algorithm to obtain the lasso coefficients. For the homoskedastic case, a single penalty level lambda is applied; in the heteroskedastic and cluster cases, the penalty loadings vary across regressors. The methods are discussed in detail in Belloni et al. (2012, 2013, 2014, 2016) and are described only briefly here. For a detailed discussion of an R implementation of rlasso, see Spindler et al. (2016). For compatibility with the wider lasso literature, the documentation here uses "lambda" to refer to the penalty level that, combined with the possibly regressor-specific penalty loadings, is used with the estimation algorithm to obtain the lasso coefficients. "lambda0" refers to the component of the overall lasso penalty level that does not depend on the error variance. Note that this terminology differs from that in the R implementation of rlasso by Spindler et al. (2016). The default lambda0 for the lasso is 2c*sqrt(N)*invnormal(1-gamma/(2p)), where p is the number of penalized regressors and c and gamma are constants with default values of 1.1 and 0.1/log(N), respectively. In the cluster-lasso (Belloni et al. 2016) the default gamma is 0.1/log(N_clust), where N_clust is the number of clusters (saved in e(N_clust)). The default lambda0s for the sqrt-lasso are the same except replace 2c with c. The constant c>1.0 is a slack parameter; gamma controls the confidence level. The alternative formula lambda0 = 2c*sqrt(N)*sqrt(2*log(2p/gamma)) is available with the lalt option. The constants c and gamma can be set using the c(real) and gamma(real) options. The xdep option is another alternative that implements an "X-dependent" penalty level lambda0; see Belloni and Chernozhukov (2011) and Belloni et al. (2013) for discussion. The default lambda for the lasso in the i.i.d. case is lambda0*rmse, where rmse is an estimate of the standard deviation of the error variance. The sqrt-lasso differs from the standard lasso in that the penalty term lambda is pivotal in the homoskedastic case and does not depend on the error variance. The default for the sqrt-lasso in the i.i.d. case is lambda=lambda0=c*sqrt(N)*invnormal(1-gamma/(2*p)) (note the absence of the factor of "2" vs. the lasso lambda). Penalty loadings As is standard in the lasso literature, regressors are standardized to have unit variance. By default, standardization is achieved by incorporating the standard deviations of the regressors into the penalty loadings. In the default homoskedastic case, the penalty loadings are the vector of standard deviations of the regressors. The normalized penalty loadings are the penalty loadings normalized by the SDs of the regressors. In the homoskedastic case the normalized penalty loadings are a vector of 1s. rlasso saves the vector of penalty loadings, the vector of normalized penalty loadings, and the vector of SDs of the regressors X in e(.) macros. Penalty loadings are constructed after the partialling-out of unpenalized regressors and/or the FE (fixed-effects) transformation, if applicable. A alternative to partialling-out unpenalized regressors with the partial(varlist) option is to give them penalty loadings of zero with the pnotpen(varlist) option. By the Frisch-Waugh-Lovell Theorem for the lasso (Yamada 2017), the estimated lasso coefficients are the same in theory (but see below) whether the unpenalized regressors are partialled-out or given zero penalty loadings, so long as the same penalty loadings are used for the penalized regressors in both cases. Note that the calculation of the penalty loadings in both the partial(.) and pnotpen(.) cases involves adjustments for the partialled-out variables. This is different from the lasso2 handling of unpenalized variables specified in the lasso2 option notpen(.), where no such adjustment of the penalty loadings is made (and is why the two no-penalization options are named differently). Regressor-specific penalty loadings for the heteroskedastic and clustered cases are derived following the methods described in Belloni et al. (2012, 2013, 2014, 2015, 2016). The penalty loadings for the heteroskedastic-robust case have elements of the form sqrt[avg(x^2e^2)]/sqrt[avg(e^2)] where x is a (demeaned) regressor, e is the residual, and sqrt[avg(e^2)] is the root mean squared error; the normalized penalty loadings have elements sqrt[avg(x^2e^2)]/(sqrt[avg(x^2)]sqrt[avg(e^2)]) where the sqrt(avg(x^2) in the denominator is SD(x), the standard deviation of x. This corresponds to the presentation of penalty loadings in Belloni et al. (2014; see Algorithm 1 but note that in their presentation, the predictors x are assumed already to be standardized). NB: in the presentation we use here, the penalty loadings for the lasso and sqrt-lasso are the same; what differs is the overall penalty term lambda. The cluster-robust case is similar to the heteroskedastic case except that numerator sqrt[avg(x^2e^2)] in the heteroskedastic case is replaced by sqrt[avg(u_i^2)], where (using the notation of the Stata manual's discussion of the _robust command) u_i is the sum of x_ij*e_ij over the j members of cluster i; see Belloni et al. (2016). Again in the presentation used here, the cluster-lasso and cluster-sqrt-lasso penalty loadings are the same. The unit vector is again the benchmark for the standardized penalty loadings. NB: also following _robust, the denominator of avg(u_i^2) and Tbar is (N_clust-1). cluster(varname1 varname2) implements two-way cluster-robust penalty loadings (Cameron et al. 2011; Thompson 2011). "Two-way cluster-robust" means the penalty loadings accommodate arbitrary within-group correlation in two distinct non-nested categories defined by varname1 and varname2. Note that the asymptotic justification for the two-way cluster-robust approach requires both dimensions to be "large" (go off to infinity). Autocorrelation-consistent (AC) and heteroskedastic and autocorrelation-consistent (HAC) penalty loadings can be obtained by using the bw(int) option on its own (AC) or in combination with the robust option (HAC), where int specifies the bandwidth; see Chernozhukov et al. (2018, 2020) and Ahrens et al. (2020). Syntax and usage follows that used by ivreg2; see the ivreg2 help file for details. The default is to use the Bartlett kernel; this can be changed using the kernel option. The full list of kernels available is (abbreviations in parentheses): Bartlett (bar); Truncated (tru); Parzen (par); Tukey-Hanning (thann); Tukey-Hamming (thamm); Daniell (dan); Tent (ten); and Quadratic-Spectral (qua or qs). AC and HAC penalty loadings can also be used for (large T) panel data; this requires the dataset to be xtset. Note that for some kernels it is possible in finite samples to obtain negative variances and hence undefined penalty loadings; the same is true of two-way cluster-robust. Intutively, this arises because the covariance term in a calculation like var+var-2cov is "too big". When this happens, rlasso issues a warning and (arbitrarily) replaces 2cov with cov. The center option centers the x_ij*e_ij terms (or in the cluster-lasso case, the u_i terms) prior to calculating the penalty loadings. Sup-score test of joint significance rlasso with the supscore option reports a test of the null hypothesis H0: beta_1 = ... = beta_p = 0. i.e., a test of the joint significance of the regressors (or, alternatively, a test that H0: s=0; of the full set of p regressors, none is in the true model). The test follows Chernozhukov et al. (2013, Appendix M); see also Belloni et al. (2012, 2013). (The variables are assumed to be rescaled to be centered and with unit variance.) If the null hypothesis is correct and the rest of the model is well-specified (including the assumption that the regressors are orthogonal to the disturbance e), then E(e*x_j) = E((y-beta_0)*x_j) = 0, j=1...p where beta_0 is the intercept. The sup-score statistic is S=sqrt(N)*max_j(abs(avg((y-b_0)*x_j))/(sqrt(avg(((y-b_0)*x_j)^2)))), where: (a) the numerator abs(avg((y-b_0)*x_j)) is the absolute value of the average score for regressor x_j and b_0 is sample mean of y; (b) the denominator sqrt(avg(((y-b_0)*x_j)^2)) is the sample standard deviation of the score; (c) the statistic is sqrt(N) times the maximum across the p regressors of the ratio of (a) to (b). The p-value for the sup-score test is obtained by a multiplier bootstrap procedure simulating the statistic W, defined as W=sqrt(N)*max_j(abs(avg((y-b_0)*x_j*u))/(sqrt(avg(((y-b_0)*x_j)^2)))) where u is an iid standard normal variate independent of the data. The ssnumsim(int) option controls the number of simulated draws (default=500); ssnumsim(0) requests that the sup-score statistic is reported without a simulation-based p-value. rlasso also reports a conservative critical value (asymptotic bound) as per Belloni et al. (2012, 2013), defined as c*invnormal(1-gamma/(2p)); this can be set by the option ssgamma(int) (default = 0.05). Computational notes A computational alternative to the default of standardizing "on the fly" (i.e., incorporating the standardization into the lasso penalty loadings) is to standardize all variables to have unit variance prior to computing the lasso coefficients. This can be done using the prestd option. The results are equivalent in theory. The prestd option can lead to improved numerical precision or more stable results in the case of difficult problems; the cost is (a typically small) computation time required to standardize the data. Either the partial(varlist) option or the pnotpen(varlist) option can be used for variables that should not be penalized by the lasso. The options are equivalent in theory (see above), but numerical results can differ in practice because of the different calculation methods used. Partialling-out variables can lead to improved numerical precision or more stable results in the case of difficult problems vs. specifying the variables as unpenalized, but may be slower in terms of computation time. Both the partial(varlist) and pnotpen(varlist) options use least squares. This is implemented in Mata using one of Mata's solvers. In cases where the variables to be partialled out are collinear or nearly so, different solvers may generate different results. Users may wish to check the stability of their results in such cases. The psolver(.) option can be used to specify the Mata solver used. The default behavior of rlasso to solve AX=B for X is to use the QR decomposition applied to (A'A) and (A'B), i.e., qrsolve((A'A),(A'B)), abbreviated qrxx. Available options are qr, qrxx, lu, luxx, svd, svdxx, where, e.g., svd indicates using svsolve(A,B) and svdxx indicates using svsolve((A'A),(A'B)). rlasso will warn if collinear variables are dropped when partialling out. By default the constant (if present) is not penalized if there are no regressors being partialled out; this is equivalent to mean-centering prior to estimation. The exception to this is if aweights or aweights are specified, in which case the constant is partialled-out. The partial(varlist) option will automatically also partial out the constant (if present); to partial out just the constant, specify partial(_cons). The within transformation implemented by the fe option automatically mean-centers the data; the nocons option is redundant in this case and may not be specified with this option. The prestd and pnotpen(varlist) vs. partial(varlist) options can be used as simple checks for numerical stability by comparing results that should be equivalent in theory. If the results differ, the values of the minimized objective functions (e(pmse) or e(prmse)) can be compared. The fe fixed-effects option is equivalent to (but computationally faster and more accurate than) specifying unpenalized panel-specific dummies. The fixed-effects ("within") transformation also removes the constant as well as the fixed effects. The panel variable used by the fe option is the panel variable set by xtset. To use weights with fixed effects, the ftools must be installed. Miscellaneous By default rlasso reports only the set of selected variables and their lasso and post-lasso coefficients; the omitted coefficients are not reported in the regression output. The postall and displayall options allow the full coefficient vector (with coefficients of unselected variables set to zero) to be either posted in e(b) or displayed as output. rlasso, like the lasso in general, accommodates possibly perfectly-collinear sets of regressors. Stata's factor variables are supported by rlasso (as well as by lasso2). Users therefore have the option of specifying as regressors one or more complete sets of factor variables or interactions with no base levels using the ibn prefix. This can be interpreted as allowing rlasso to choose the members of the base category. The choice of whether to use partial(varlist) or pnotpen(varlist) will depend on the circumstances faced by the user. The partial(varlist) option can be helpful in dealing with data that have scaling problems or collinearity issues; in these cases it can be more accurate and/or achieve convergence faster than the pnotpen(varlist) option. The pnotpen(varlist) option will sometimes be faster because it avoids using the pre-estimation transformation employed by partial(varlist). The two options can be used simultaneously (but not for the same variables). The treatment of standardization, penalization and partialling-out in rlasso differs from that of lasso2. In the rlasso treatment, standardization incorporates the partialling-out of regressors listed in the pnotpen(varlist) list as well as those in the partial(varlist) list. This is in order to maintain the equivalence of the lasso estimator irrespective of which option is used for unpenalized variables (see the discussion of the Frisch-Waugh-Lovell Theorem for the lasso above). In the lasso2 treatment, standardization takes place after the partialling-out of only the regressors listed in the notpen(varlist) option. In other words, rlasso adjusts the penalty loadings for any unpenalized variables; lasso2 does not. For further details, see lasso2. The initial overhead for fixed-effects estimation and/or partialling out and/or pre-estimation standardization (creating temporary variables and then transforming the data) can be noticable for large datasets. For problems that involve looping over data, users may wish to first transform the data by hand. If a small number of correlations is set using the corrnum(int) option, users may want to increase the number of penalty loadings iterations from the default of 2 to something higher using the maxpsiiter(int) option. The sup-score p-value is obtained by simulation, which can be time-consuming for large datasets. To skip this and use only the conservative (asymptotic bound) critical value, set the number of simulations to zero with the ssnumsim(0) option. Version notes Detailed version notes can be found inside the ado files rlasso.ado and lassoutils.ado. Noteworthy changes appear below. In versions of lassoutils prior to 1.1.01 (8 Nov 2018), the very first iteration to obtain penalty loadings set the constant c=0.55. This was dropped in version 1.1.01, and the constant c is unchanged in all iterations. To replicate the previous behavior of rlasso, use the c0(real) option. For example, with the default value of c=1.1, to replicate the earlier behavior use c0(0.55). In versions of lassoutils prior to 1.1.01 (8 Nov 2018), the sup-score test statistic S was N*max_j rather than sqrt(N)*max_j as in Chernozhukov et al. (2013), and similarly for the simulated statistic W. Examples using prostate cancer data from Hastie et al. (2009) Load prostate cancer data. . clear . insheet using https://web.stanford.edu/~hastie/ElemStatLearn/datasets/prostate.data, tab Estimate lasso using data-driven lambda penalty; default homoskedasticity case. . rlasso lpsa lcavol lweight age lbph svi lcp gleason pgg45 Use square-root lasso instead. . rlasso lpsa lcavol lweight age lbph svi lcp gleason pgg45, sqrt Illustrate relationships between lambda, lambda0 and penalty loadings: Basic usage: homoskedastic case, lasso . rlasso lpsa lcavol lweight age lbph svi lcp gleason pgg45 lambda=lambda0*SD is lasso penalty; incorporates the estimate of the error variance default lambda0 is 2c*sqrt(N)*invnormal(1-gamma/(2*p)) . di e(lambda) . di e(lambda0) In the homoskedastic case, penalty loadings are the vector of SDs of penalized regressors . mat list e(ePsi) ...and the standardized penalty loadings are a vector of 1s. . mat list e(sPsi) Heteroskedastic case, lasso . rlasso lpsa lcavol lweight age lbph svi lcp gleason pgg45, robust lambda and lambda0 are the same as for the homoskedastic case . di e(lambda) . di e(lambda0) Penalty loadings account for heteroskedasticity as well as incorporating SD(x) . mat list e(ePsi) ...and the standardized penalty loadings are not a vector of 1s. . mat list e(sPsi) Homoskedastic case, sqrt-lasso . rlasso lpsa lcavol lweight age lbph svi lcp gleason pgg45, sqrt with the sqrt-lasso, the default lambda=lambda0=c*sqrt(N)*invnormal(1-gamma/(2*p)); note the difference by a factor of 2 vs. the standard lasso lambda0 . di e(lambda) . di e(lambda0) rlasso vs. lasso2 (if installed) . rlasso lpsa lcavol lweight age lbph svi lcp gleason pgg45 lambda=lambda0*SD is lasso penalty; incorporates the estimate of the error variance default lambda0 is 2c*sqrt(N)*invnormal(1-gamma/(2*p)) . di %8.5f e(lambda) Replicate rlasso estimates using rlasso lambda and lasso2 . lasso2 lpsa lcavol lweight age lbph svi lcp gleason pgg45, lambda(44.34953) Examples using data from Acemoglu-Johnson-Robinson (2001) Load and reorder AJR data for Table 6 and Table 8 (datasets need to be in current directory). . clear . (click to download maketable6.zip from economics.mit.edu) . unzipfile maketable6 . (click to download maketable8.zip from economics.mit.edu) . unzipfile maketable8 . use maketable6 . merge 1:1 shortnam using maketable8 . keep if baseco==1 . order shortnam logpgp95 avexpr lat_abst logem4 edes1975 avelf, first . order indtime euro1900 democ1 cons1 democ00a cons00a, last Alternatively, load AJR data from our website (no manual download required): . clear . use https://statalasso.github.io/dta/AJR.dta Basic usage: . rlasso logpgp95 lat_abst edes1975 avelf temp* humid* steplow-oilres Heteroskedastic-robust penalty loadings: . rlasso logpgp95 lat_abst edes1975 avelf temp* humid* steplow-oilres, robust Partialling-out vs. non-penalization: . rlasso logpgp95 lat_abst edes1975 avelf temp* humid* steplow-oilres, partial(lat_abst) . rlasso logpgp95 lat_abst edes1975 avelf temp* humid* steplow-oilres, pnotpen(lat_abst) Request sup-score test (H0: all betas=0): . rlasso logpgp95 lat_abst edes1975 avelf temp* humid* steplow-oilres, supscore Examples using data from Angrist-Krueger (1991) Load AK data and rename variables (dataset needs to be in current directory). NB: this is a large dataset (330k observations) and estimations may take some time to run on some installations. . clear . (click to download asciiqob.zip from economics.mit.edu) . unzipfile asciiqob.zip . infix lnwage 1-9 edu 10-20 yob 21-31 qob 32-42 pob 43-53 using asciiqob.txt Alternatively, get data from our website source (no unzipping needed): . use https://statalasso.github.io/dta/AK91.dta xtset data by place of birth (state): . xtset pob State (place of birth) fixed effects; regressors are year of birth, quarter of birth and QOBxYOB. . rlasso edu i.yob# #i.qob, fe As above but explicit penalized state dummies and all categories (no base category) for all factor vars. Note that the (unpenalized) constant is reported. . rlasso edu ibn.yob# #ibn.qob ibn.pob State fixed effects; regressors are YOB, QOB and QOBxYOB; cluster on state. . rlasso edu i.yob# #i.qob, fe cluster(pob) Example using data from Belloni et al. (2015) Load dataset on eminent domain (available at journal website). . clear . import excel using CSExampleData.xlsx, first Settings used in Belloni et al. (2015) - results as in text discussion (p=147): . rlasso NumProCase Z* BA BL DF, robust lalt corrnum(0) maxpsiiter(100) c0(0.55) . di e(p) Settings used in Belloni et al. (2015) - results as in journal replication file (p=144): . rlasso NumProCase Z*, robust lalt corrnum(0) maxpsiiter(100) c0(0.55) . di e(p) Examples illustrating AC/HAC penalty loadingss . use http://fmwww.bc.edu/ec-p/data/wooldridge/phillips.dta . tsset year, yearly Autocorrelation-consistent (AC) penalty loadings; bandwidth=3; default kernel is Bartlett. . rlasso cinf L(0/10).unem, bw(3) Heteroskedastic- and autocorrelation-consistent (HAC) penalty loadings; bandwidth=5; kernel is quadratic-spectral. . rlasso cinf L(0/10).unem, bw(5) rob kernel(qs) Saved results rlasso saves the following in e(): scalars e(N) sample size e(N_clust) number of clusters in cluster-robust estimation; in the case of 2-way cluster-robust, e(N_clust)=min(e(N_clust1),e(N_clust2)) e(N_g) number of groups in fixed-effects model e(p) number of penalized regressors in model e(s) number of selected regressors e(s0) number of selected and unpenalized regressors including constant (if present) e(lambda0) penalty level excluding rmse (default = 2c*sqrt(N)*invnormal(1-gamma/(2*p))) e(lambda) lasso: penalty level including rmse (=lambda0*rmse); sqrt-lasso: lambda=lambda0 e(slambda) standardized lambda; equiv to lambda used on standardized data; lasso: slambda=lambda/SD(depvar); sqrt-lasso: slambda=lambda0 e(c) parameter in penalty level lambda e(gamma) parameter in penalty level lambda e(niter) number of iterations for shooting algorithm e(maxiter) max number of iterations for shooting algorithm e(npsiiter) number of iterations for loadings algorithm e(maxpsiiter) max iterations for loadings algorithm e(r2) R-sq for lasso estimation e(rmse) rmse using lasso resduals e(rmseOLS) rmse using post-lasso residuals e(pmse) minimized objective function (penalized mse, standard lasso only) e(prmse) minimized objective function (penalized rmse, sqrt-lasso only) e(cons) =1 if constant in model, =0 otherwise e(fe) =1 if fixed-effects model, =0 otherwise e(center) =1 if moments have been centered e(bw) (HAC/AC only) bandwidth used e(supscore) sup-score statistic e(supscore_p) sup-score p-value e(supscore_cv) sup-score critical value (asymptotic bound) macros e(cmd) rlasso e(cmdline) command line e(depvar) name of dependent variable e(varX) all regressors e(varXmodel) penalized regressors e(pnotpen) unpenalized regressors e(partial) partialled-out regressors e(selected) selected and penalized regressors e(selected0) all selected regressors including unpenalized and constant (if present) e(method) lasso or sqrt-lasso e(estimator) lasso, sqrt-lasso or post-lasso ols posted in e(b) e(robust) heteroskedastic-robust penalty loadings e(clustvar) variable defining clusters for cluster-robust penalty loadings; if two-way clustering is used, the variables are in e(clustvar1) and e(clustvar2) e(kernel) (HAC/AC only) kernel used e(ivar) variable defining groups for fixed-effects model matrices e(b) posted coefficient vector e(beta) lasso or sqrt-lasso coefficient vector e(betaOLS) post-lasso coefficient vector e(betaAll) full lasso or sqrt-lasso coefficient vector including omitted, factor base variables, etc. e(betaAllOLS) full post-lasso coefficient vector including omitted, factor base variables, etc. e(ePsi) estimated penalty loadings e(sPsi) standardized penalty loadings (vector of 1s in homoskedastic case functions e(sample) estimation sample References Acemoglu, D., Johnson, S. and Robinson, J.A. 2001. The colonial origins of comparative development: An empirical investigation. American Economic Review, 91(5):1369-1401. https://economics.mit.edu/files/4123 Ahrens, A., Aitkens, C., Dizten, J., Ersoy, E., Kohns, D. and M.E. Schaffer. 2020. A Theory-based Lasso for Time-Series Data. Invited paper for the International Conference of Econometrics of Vietnam, January 2020. Forthcoming in Studies in Computational Intelligence (Springer). Ahrens, A., Hansen, C.B. and M.E. Schaffer. 2020. lassopack: model selection and prediction with regularized regression in Stata. The Stata Journal, 20(1):176-235. https://journals.sagepub.com/doi/abs/10.1177/1536867X20909697. Working paper version: https://arxiv.org/abs/1901.05397. Angrist, J. and Kruger, A. 1991. Does compulsory school attendance affect schooling and earnings? Quarterly Journal of Economics 106(4):979-1014. http://www.jstor.org/stable/2937954 Belloni, A. and Chernozhukov, V. 2011. High-dimensional sparse econometric models: An introduction. In Alquier, P., Gautier E., and Stoltz, G. (eds.), Inverse problems and high-dimensional estimation. Lecture notes in statistics, vol. 203. Springer, Berlin, Heidelberg. https://arxiv.org/pdf/1106.5242.pdf Belloni, A., Chernozhukov, V. and Wang, L. 2011. Square-root lasso: Pivotal recovery of sparse signals via conic programming. Biometrika 98:791-806. https://doi.org/10.1214/14-AOS1204 Belloni, A., Chen, D., Chernozhukov, V. and Hansen, C. 2012. Sparse models and methods for optimal instruments with an application to eminent domain. Econometrica 80(6):2369-2429. http://onlinelibrary.wiley.com/doi/10.3982/ECTA9626/abstract Belloni, A., Chernozhukov, V. and Hansen, C. 2013. Inference for high-dimensional sparse econometric models. In Advances in Economics and Econometrics: 10th World Congress, Vol. 3: Econometrics, Cambridge University Press: Cambridge, 245-295. http://arxiv.org/abs/1201.0220 Belloni, A., Chernozhukov, V. and Hansen, C. 2014. Inference on treatment effects after selection among high-dimensional controls. Review of Economic Studies 81:608-650. https://doi.org/10.1093/restud/rdt044 Belloni, A., Chernozhukov, V. and Hansen, C. 2015. High-dimensional methods and inference on structural and treatment effects. Journal of Economic Perspectives 28(2):29-50. http://www.aeaweb.org/articles.php?doi=10.1257/jep.28.2.29 Belloni, A., Chernozhukov, V., Hansen, C. and Kozbur, D. 2016. Inference in high dimensional panel models with an application to gun control. Journal of Business and Economic Statistics 34(4):590-605. http://amstat.tandfonline.com/doi/full/10.1080/07350015.2015.1102733 Belloni, A., Chernozhukov, V. and Wang, L. 2014. Pivotal estimation via square-root-lasso in nonparametric regression. Annals of Statistics 42(2):757-788. https://doi.org/10.1214/14-AOS1204 Chernozhukov, V., Chetverikov, D. and Kato, K. 2013. Gaussian approximations and multiplier bootstrap for maxima of sums of high-dimensional random vectors. Annals of Statistics 41(6):2786-2819. https://projecteuclid.org/euclid.aos/1387313390 Cameron, A.C., Gelbach, J.B. and D.L. Miller. Robust Inference with Multiway Clustering. Journal of Business & Economic Statistics 29(2):238-249. https://www.jstor.org/stable/25800796. Working paper version: NBER Technical Working Paper 327, http://www.nber.org/papers/t0327. Chernozhukov, V., Hardle, W.K., Huang, C. and W. Wang. 2018 (rev 2020). LASSO-driven inference in time and space. Working paper. https://arxiv.org/abs/1806.05081 Correia, S. 2016. FTOOLS: Stata module to provide alternatives to common Stata commands optimized for large datasets. https://ideas.repec.org/c/boc/bocode/s458213.html Friedman, J., Hastie, T., & Tibshirani, R. (2010). Regularization Paths for Generalized Linear Models via Coordinate Descent. Journal of Statistical Software 33(1), 1\9622. https://doi.org/10.18637/jss.v033.i01 Fu, W.J. 1998. Penalized regressions: The bridge versus the lasso. Journal of Computational and Graphical Statistics 7(3):397-416. http://www.tandfonline.com/doi/abs/10.1080/10618600.1998.10474784 Hastie, T., Tibshirani, R. and Friedman, J. 2009. The elements of statistical learning (2nd ed.). New York: Springer-Verlag. https://web.stanford.edu/~hastie/ElemStatLearn/ Spindler, M., Chernozhukov, V. and Hansen, C. 2016. High-dimensional metrics. https://cran.r-project.org/package=hdm. Thompson, S.B. 2011. Simple formulas for standard errors that cluster by both firm and time. Journal of Financial Economics 99(1):1-10. Working paper version: http://ssrn.com/abstract=914002. Tibshirani, R. 1996. Regression shrinkage and selection via the lasso. Journal of the Royal Statistical Society. Series B (Methodological) 58(1):267-288. https://doi.org/10.2307/2346178 Yamada, H. 2017. The Frisch-Waugh-Lovell Theorem for the lasso and the ridge regression. Communications in Statistics - Theory and Methods 46(21):10897-10902. http://dx.doi.org/10.1080/03610926.2016.1252403 Website Please check our website https://statalasso.github.io/ for more information. Installation rlasso is part of the lassopack package. To get the latest stable version of lassopack from our website, check the installation instructions at https://statalasso.github.io/installation/. We update the stable website version more frequently than the SSC version. Earlier versions of lassopack are also available from the website. To verify that lassopack is correctly installed, click on or type whichpkg lassopack (which requires whichpkg to be installed; ssc install whichpkg). Acknowledgements Thanks to Alexandre Belloni for providing Matlab code for the square-root-lasso and to Sergio Correia for advice on the use of the FTOOLS package. Citation of rlasso rlasso is not an official Stata command. It is a free contribution to the research community, like a paper. Please cite it as such: Ahrens, A., Hansen, C.B., Schaffer, M.E. 2018 (updated 2020). LASSOPACK: Stata module for lasso, square-root lasso, elastic net, ridge, adaptive lasso estimation and cross-validation http://ideas.repec.org/c/boc/bocode/s458458.html Ahrens, A., Hansen, C.B. and M.E. Schaffer. 2020. lassopack: model selection and prediction with regularized regression in Stata. The Stata Journal, 20(1):176-235. https://journals.sagepub.com/doi/abs/10.1177/1536867X20909697. Working paper version: https://arxiv.org/abs/1901.05397. Authors Achim Ahrens, Public Policy Group, ETH Zurich, Switzerland achim.ahrens@gess.ethz.ch Christian B. Hansen, University of Chicago, USA Christian.Hansen@chicagobooth.edu Mark E. Schaffer, Heriot-Watt University, UK m.e.schaffer@hw.ac.uk Also see Help: lasso2, cvlasso, lassologit, pdslasso, ivlasso (if installed)
help rlasso