Lasso program

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Lasso program

Postby 88fr.leo » Tue Sep 29, 2020 2:54 pm

Hello to all,

While writing a program that runs a bunch of LASSO equations and found difficulty in establishing a few variables;

This is my equation: equation eq_nxv{!i}.enet(penalty=lasso, alpha=1, lambda=0.401, conv=1e-5, maxit=500) n{!i} v1 ... v92 c

(If anyone could help) I'd like to know if it is possible to, instead of choosing an integer number (for alpha, lambda, conv and maxit), let eviews choose the best fit for the equation via this program.

Thank you!

EViews Gareth
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Re: Lasso program

Postby EViews Gareth » Tue Sep 29, 2020 3:16 pm

Selecting the "best" maxit and conv is a bit nonsensical.

If you don't specify Lambda, EViews will select the best lambda for you automatically.

Using automatic selection for alpha is a bit weird. You'd have to define what "best" means in this case.
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