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R_ML_STATA_CV: Stata module to implement machine learning regression in Stata

Author

Listed:
  • Giovanni Cerulli

    (IRCrES-CNR)

Programming Language

Stata

Abstract

r_ml_stata_cv is a command for implementing machine learning regression algorithms in Stata 16. It uses the Stata/Python integration (sfi) capability of Stata 16 and allows to implement the following regression algorithms: ordinary least squares, elastic net, tree, boosting, random forest, neural network, nearest neighbor, support vector machine. It provides hyper-parameters' optimal tuning via K-fold cross-validation using greedy search. This command makes use of the Python Scikit-learn API to carry out both cross-validation and prediction.

Suggested Citation

  • Giovanni Cerulli, 2022. "R_ML_STATA_CV: Stata module to implement machine learning regression in Stata," Statistical Software Components S459054, Boston College Department of Economics, revised 17 Feb 2023.
    • Handle: RePEc:boc:bocode:s459054
    Note: This module should be installed from within Stata by typing "ssc install r_ml_stata_cv". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

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    File URL: http://fmwww.bc.edu/repec/bocode/r/r_ml_stata_cv.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/r/r_ml_stata_default.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/g/get_train_test.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/p/pylearn.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/r/r_ml_stata_cv.sthlp
    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/g/get_train_test.sthlp
    File Function: help file
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    File URL: http://fmwww.bc.edu/repec/bocode/r/r_boost.py
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/r/r_elasticnet.py
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/r/r_nearestneighbor.py
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/r/r_neuralnet.py
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/r/r_randomforest.py
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/r/r_svm.py
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/r/r_tree.py
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/e/example_r_ml_stata.do
    File Function: sample file
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    File URL: http://fmwww.bc.edu/repec/bocode/r/r_ml_stata_data_example.dta
    File Function: sample data file
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