lasso2_p.ado

*! lasso2_p 1.0.06 14oct2019
*! lassopack package 1.4.3
*! authors aa/ms
*
* post-estimation predict for both lasso2 and cvlasso.
*
* Updates 	(release date):
* 1.0.02  	(5apr2018 - not released)
*         	Code cleaning. Removed old, dysfunctional 'pe' option.
* 1.0.03  	(08nov2018)
*         	Replaced "postest" option with name "postresults"; legacy support for postest.
* 		  	Added support for lic().
*		  	Changed structure and added warning messages.
* 1.0.04  	(22nov2018)
* 		  	fixed bug: ols in 'predict ... , lambda() ols' had no effect
* 1.0.05  	(9oct2019)
*         	added proper support for fe
*			noisily now shows beta vector

program define lasso2_p, rclass

	syntax namelist(min=1 max=2) [if] [in] [, lse lopt NOIsily POSTRESults POSTEst lic(string) ///
											Lambda(numlist >0 max=1)	/// 
											LID(numlist integer max=1) 	/// 
											* ///
											]
	
	*** legacy option postest replaced by postresults
	if "`postest'" != "" {
		local postresults postresults
		di as err "'postest' option has been renamed to 'postresults'. Please use 'postresults' instead."
	}
	*

	if "`noisily'"=="" {
		local qui qui 
	}
	*
	
	local cmd `e(cmd)'
	local lcount `e(lcount)'
	
	// lasso2 
	if ("`cmd'"=="lasso2") {
	
		if (`lcount'>1) & ("`lic'`lambda'`lid'"=="") {
		
			di as err "No lambda specified. Use lic(), lambda() or lid() option."
			di as err "Alternatively, use lic() with postres in the previous lasso2 call."
			exit 198
			
		}
		else if (`lcount'>1) & ("`lic'"!="") {
		
			if ("`postresults'"=="") {
				tempname m
				qui estimates store `m'
			}
			// postresults option ensures that lasso2 results are being posted
			lasso2, lic(`lic') postresults 
			// run predict command
			_lasso2_p `namelist' `if' `in', `qui' `options'
			if ("`postresults'"=="") {
				qui estimates restore `m'
			}		
		
		}
		else { 
			
			// cases: lcount = 1
			// or lcount > 1 with lambda() or lid()
			_lasso2_p `namelist' `if' `in', `qui' `options' `postresults' lambda(`lambda') lid(`lid')
			
		} 
	
	}
	else if ("`cmd'"=="cvlasso") { // cvlasso
	
		if ("`lse'`lopt'"=="") { 
			// default to lopt
			local lopt lopt
		}
		if ("`postresults'"=="") {
			tempname m
			qui estimates store `m'
		}
		// return lasso2 results with lse or lopt
		// postresults option ensures that lasso2 results are being posted
		cvlasso, `lse' `lopt' postresults 
		// run predict command
		_lasso2_p `namelist' `if' `in', `qui' `options'
		if ("`postresults'"=="") {
			qui estimates restore `m'
		}
	
	}
end

// program for calculating xb/r 
program define _lasso2_p, rclass

// this program handes three cases:
// 				(a) lcount = 1
// 				(b) lcount > 1 with lambda() -- with or without approximation
// 				(c) lcount > 1 with lid()

	syntax namelist(min=1 max=2) [if] [in], ///
											///
				[XB 						/// [default]
				Residuals U E UE XBU		///
											///
				Lambda(numlist >0 max=1)	/// Lambda value
				LID(numlist integer max=1) 	/// Lambda ID 
											///
											///
				ols 						/// use post-OLS coefficients
											///
				APPRox 	 					/// use linear approximation 
				qui 						/// display estimation output
				POSTRESults 				///
				] 							


				
	* create variable here
	tokenize `namelist'
	if "`2'"=="" {					//  only new varname provided
		local varlist `1'
	}
	else {							//  datatype also provided
		local vtype `1'
		local varlist `2'
	}
	*
	
	*** after cross-validation
	local command=e(cmd)
	
	marksample touse, novarlist 

	*** warning messages
	local fe = `e(fe)'
	if ("`xb'`residuals'`u'`e'`ue'`xbu'"=="") {
		di as gr "No xb or residuals options specified. Assume xb (fitted values)."
		local xb xb
	}
	if (("`u'`e'`ue'`xbu'"!="") & (`fe'!=1)) {
		di as err "u, e, ue and xbu only supported after fe"
		exit 198
	}
	else if `fe'==1 {
		* xtset is required for FEs so this check should never fail
		cap xtset
		if _rc {
			di as err "internal error - data not xtset"
			exit 499
		}
		local panelvar `r(panelvar)'
		local timevar `r(timevar)'
	}
	if `:  word count `u' `e' `ue' `xbu' ' > 1 {
		di as err "only one allowed: u, e or ue"
		exit 198
	}
	if (("`residuals'"!="") & (`fe'==1)) {
		di as err "residuals option not allowed after fe; select u, e or ue."
		exit 198
	}
	*
	
	*** obtain beta-hat
	local lcount = e(lcount)
	
	tempname betaused
	if (`lcount'==1) { // only one lambda
	
		*** syntax checks
		if ("`lambda'"!="") {
			di as error "Warning: lambda() option is ignored."
		}
		if ("`lid'"!="") {
			di as error "Warning: lid option is ignored."
		}
		if ("`approx'"!="") {
			di as error "Warning: approx option is ignored."
		}
		if ("`noisely'"!="") {
			di as err "Warning: noisely option is ignored."
		}
		
		*** for return
		local lambda = e(lambda)
	
		*** lasso or post-lasso?
		if ("`ols'"=="") {
			di as text "Use e(b) from previous lasso2 estimation (lambda=`lambda')."
			mat `betaused' = e(b)
		}
		else {
			di as text "Use e(betaOLS) from previous lasso2 estimation (lambda=`lambda')."
			mat `betaused' = e(betaOLS)
		}
		*
	
	}
	else { // list of lambdas
	
		// either lid or lambda() option required.
		if ("`lambda'"=="") & ("`lid'"=="") {
			di as error "lambda() or lid() option required."
			exit 198
		}
		*
	
		if ("`lambda'"!="") & ("`approx'"!="") { // linear approximation
		
			di as text "Use linear approximation based on two closest lambda values."
			
			*** checks
			if (`e(alpha)'!=1) {
				di as error "Warning: Linear approximation only exact for Lasso."
			}
			if ("`ols'"!="") {
				di as error "Post option not supported with approx." 
			}	
			*
			
			*** check if lambda in range
			tempname lambdas betas
			mat `lambdas'=e(lambdamat)
			mat `betas' = e(betas)
			local lmax = e(lmax)
			local lmin = e(lmin)
			if (`lambda' < `lmin') | (`lambda' > `lmax') {
				di as error "Lamba is not in range. `lmin'<=Lambda<=`lmax' is required."
				exit 198
			}
			*

			***  find smallest/largest matrix value larger/smaller 
			*** than the lambda specified by user
			local j=2
			local lminus=`lmax'
			while ((`lminus'>=`lambda') & (`j'<=`lcount')) {
				local lplusid = `j'-1
				local lminusid = `j'
				local lplus = `lambdas'[`lplusid',1]
				local lminus = `lambdas'[`lminusid',1]	
				local j=`j'+1
			}
			*

			*** extract corresponding beta vectors
			local xdim = colsof(`betas')
			tempname betaplus betaminus
			mat `betaplus' = `betas'[`lplusid',1..`xdim'] 
			mat `betaminus' = `betas'[`lminusid',1..`xdim'] 

			*** approximate beta
			local Lconstant = (`lplus'-`lambda')/(`lambda'-`lminus')
			tempname betaused
			mat `betaused' = (`betaplus'+`betaminus'*`Lconstant')/(1+`Lconstant')
			return scalar lplus=`lplus'
			return scalar lminus=`lminus'
			return scalar lplusid=`lplusid'
			return scalar lminusid=`lminusid'
			
		} 
		else if ("`lid'"!="") { // extract beta using lambda is
			
			*** syntax checks
			if ("`ols'"!="") {
				di as error "Warning: postols option not supported with lid." 
			}	
			if ("`approx'"!="") {
				di as error "Warning: approx option ignored."
			}
			*
			
			tempname lambdas betas betaused
			mat `betas' = e(betas)
			mat `lambdas'=e(lambdamat)
			local xdim = colsof(`betas')
			local lcount=rowsof(`lambdas')
			if (`lid'>`lcount') {
				di as error "lid out of range"
				exit 198
			}
			mat `betaused' = `betas'[`lid',1..`xdim'] 
			//local estimator "Lasso"
			local lambda = `lambdas'[`lid',1]
			
			di as text "Use lambda with id=`lid'. lambda=`lambda'."
		
		}
		else if ("`lambda'"!="") & ("`approx'"=="") { // re-estimate
		
			*** this is used after cvlasso or lasso2 (if lcount>1)

			// store e() items 
			if ("`postresults'"=="") {
				tempname origest
				estimates store `origest'
			}
			
			*** do estimation (using replay syntax)
			di as text "Re-estimate model with lambda=`lambda'."
			lasso2, newlambda(`lambda')
			
			if `e(s0)'==0 {
				di as err "No variables selected."
				exit 498
			}
			
			// get the beta used for prediction
			if ("`ols'"=="") {
				di as text "Use e(b)." 
				mat `betaused' = e(b)
			}
			else {
				di as text "Use e(betaOLS)." 
				mat `betaused' = e(betaOLS)
			}
			*
			
			if ("`postresults'"=="") {
				qui estimates restore `origest'
			}
			
			//return matrix Ups = `Upsused'
		}
		else {
			di as err "internal error"
			exit 1	
		}	
	}
	*

	*** obtain prediction/residuals
	local depvar `e(depvar)'
	if "`depvar'"=="" {
		di as err "internal lasso2_p error. no depvar found."
	}
	tempvar xbvar esample res
	qui gen byte `esample' = e(sample)
	
	qui matrix score `vtype' `xbvar' = `betaused'  if `touse'
	if ("`xb'"!="") {
		// enter if standard or FE
	    if (`fe'==1) {
			* need to add constant
			qui gen `vtype'  `res' = `depvar' - `xbvar' if `esample'
			qui sum `res' if `esample', meanonly
			local acons = `r(mean)'
		}
		else {
			local acons = 0
		}
		gen `vtype' `varlist' = `xbvar' + `acons' `if'
		label var `varlist' "Predicted values"
	}
	else if ("`residuals'"!="") {
		// enter if standard only
		gen `vtype'  `varlist' = `depvar' - `xbvar' `if'
		label var `varlist' "Residuals"
	}
	else if ("`u'"!="") {
		// enter if FE only
		// fixed effect component u
		* "if" ignored
		if ("`if'"!="") {
			di as err "Warning: if condition ignored. Residuals calculated for estimation sample."
		}
		gen `vtype' `res' = `depvar' - `xbvar' if `esample'
		* first get combined residuals u+e and put in `varlist'
		qui sum `res' if `esample', meanonly
		qui gen `vtype' `varlist' = `res' - `r(mean)' if `esample'
		* now de-factor combined residuals and put in `res'
		lassoutils `res', fe(`panelvar') touse(`esample') tvarlist(`res') `noftools'
		* u = ue - e
		qui replace `varlist' = `varlist' - `res' if `esample'
		label var `varlist' "Residuals u(i)"
	}
	else if ("`e'"!="") {
		// enter if FE only
		// idiosyncratic component e
		* "if" ignored
		if ("`if'"!="") {
			di as err "Warning: if condition ignored. Residuals calculated for estimation sample."
		}
		qui gen `vtype' `res' = `depvar' - `xbvar' if `esample'
		* de-factor combined residuals
		lassoutils `res', fe(`panelvar') touse(`esample') tvarlist(`res') `noftools'
		gen `vtype' `varlist' = `res' if `esample'
		label var `varlist' "Residuals e(it)"
	}
	else if ("`ue'"!="") {
		// enter if FE only
		// combined residual u+e
		qui gen `vtype' `res' = `depvar' - `xbvar' `if'
		* center combined residuals
		qui sum `res' if `esample', meanonly
		gen `vtype' `varlist' = `res' - `r(mean)' `if'
		label var `varlist' "(Centered) Combined residuals u(i) + e(it)"
	}
	else if ("`xbu'"!="") {
		// enter if FE only
		// fixed effect component u + xb + constant = y - e = prediction including fixed effect
		* "if" ignored
		if ("`if'"!="") {
			di as err "Warning: if condition ignored. Residuals calculated for estimation sample."
		}
		qui gen `vtype' `res' = `depvar' - `xbvar' if `esample'
		* de-factor combined residuals
		lassoutils `res', fe(`panelvar') touse(`esample') tvarlist(`res') `noftools'
		gen `vtype' `varlist' = `depvar' - `res' if `esample'
		label var `varlist' "Prediction including fixed effect u(i)"
	}
	else {
		di as err "internal lasso2_p error"
		exit 198
	}
	*
	
	`qui' di "Beta used for predict:"
	`qui' mat list `betaused', noblank noheader
end