Hi,
I want to run the Lasso with gretl's recent regls addon as a helper
function for another algorithm, not as a main application. Also, it's
inside a matrix-based specialized function, so I can't use the official
regls() function which AFAIK only works with series and lists, not with
matrices. (So I would request the feature that the standard regls()
function accept matrix input; perhaps this issue came up before.)
So I've tried to use the "hidden" internal function _regls() (note the
underscore) that I found in the hansl code of regls. In the addon's
code, it seems to take two matrices and a bundle as input. The following
attempt to imitate this failed, however:
<hansl>
include regls.gfn
matrix X = mnormal(200,5)
matrix Y = mnormal(200)
bundle reglsret = _(xvalidate=FALSE, estimator="LASSO", lfrac=0.2,
stdize=FALSE)
err = _regls(X, Y, reglsret) # use internal function for matrix stuff
</hansl>
I get an error message "datatypes not conformable".
Can such an approach be made to work?
thanks
sven
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