Hi,
I am estimating a forecasting model using a large number of data. I am trying the Elastic Net. If I understand it correctly, if you standardize the regressors, the coefficents should be bounded between -1 and 1 (excluded). I get in several instances much bigger (in abs. value) coefficients. I copy below the settings, am I missing something?
thanks
Dependent Variable: LDR12USALL
Method: Elastic Net Regularization
Date: 10/21/20 Time: 12:23
Sample (adjusted): 2000M01 2019M07
Included observations: 235 after adjustments
Penalty type: Elastic Net (alpha = 0.5)
Lambda at minimum error: 0.1668
Regressor transformation: Std Dev (smpl)
Cross-validation method: K-Fold (number of folds = 5), rng=mt,
seed=198892710
Elastic net coefficents
Moderators: EViews Gareth, EViews Moderator
-
- EViews Developer
- Posts: 113
- Joined: Thu Apr 18, 2013 8:37 am
Re: Elastic net coefficents
The standardization of regressors refers to standardizing before the regression. It's not a constraint on the values of the coefficients.
Who is online
Users browsing this forum: No registered users and 46 guests