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st: RE: One question about LARS package


From   "Lachenbruch, Peter" <Peter.Lachenbruch@oregonstate.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: One question about LARS package
Date   Tue, 22 Jan 2013 16:19:30 +0000

can you just use the model at step 3? or step 4?  You'll need to rerun the regress command with those three variables.

Peter A. Lachenbruch,
Professor (retired)
________________________________________
From: owner-statalist@hsphsun2.harvard.edu [owner-statalist@hsphsun2.harvard.edu] on behalf of Kun Li [ecolikun@gmail.com]
Sent: Tuesday, January 22, 2013 12:25 AM
To: statalist@hsphsun2.harvard.edu
Subject: st: One question about LARS package

Dear Stata Users

I have one question using LARS package in stata. I have one particular
application that tries to use lars for model selection. Basically I
have one y and x1, x2, ....up to x12. The default lars command gives
me the results as follows

Cp, R-squared and Actions along the sequence of models

+------------------------------------------+
| Step | Cp | R-square | Action |
|------+-------------+----------+----------|
| 1 | 276.7940 | 0.0000 | |
| 2 | 249.3110 | 0.0292 | +x6 |
| 3 | 95.0027 | 0.1840 | +x5 |
| 4 | 13.1299 | 0.2670 | +x7 |
| 5 | 13.2321 | 0.2689 | +x8 |
| 6 | 14.7937 | 0.2694 | +x9 |
| 7 | 15.4561 | 0.2707 | +x11 |
| 8 | 14.4944 | 0.2736 | +x4 |
| 9 | 13.2267 | 0.2769 | +x3 |
| 10 | 13.6023 | 0.2785 | +x1 |
| 11 | 13.6600 | 0.2804 | +x2 |
| 12 | 12.2079 *| 0.2838 | +x10 |
| 13 | 13.0000 | 0.2850 | +x12 |
+------------------------------------------+

So this gives a model with 11 regressors on the RHS. However, this
number (11) is still too big for the application. Ideally it would be
around 3-5. And my question is:

Is there a way for me to reduce the regressors on the RHS to be 3-5?
Does this have anything to do with the tuning parameter? And if so,
does LARS package allow user to adjust tuning parameters?

Thanks for your help!

Best

Kun
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