Saving a Matrix from the Predict Command

[Jared Greathouse]

I'm interested in saving a matrix generated by Mark Schaffer 's cvlasso from lassopack so that I may do other things with it. Here's my code

import delim "https://raw.githubusercontent.com/synth-inference/synthdid/master/data/california_prop99.csv", clear
qui {
egen id = group(state) // makes a unique ID

xtset id year, y // We now have yearly panel data

drop state treated // irrelevant for our purposes

rename packs sale // I didn't like the original variable name

greshape wide sale, j(id) i( year) // Note that I use greshape, but feel free to use normal reshape
tsset year, y

loc stub sale
}
qui cvlasso `stub'3 sale1 sale2 sale4-sale39 if year < 1989, roll h(2) lglmnet
predict cf, lse noi

As we can see, the predict command (when the noisy option is specified anyways) returns the predictors of interest. How might I save this matrix into another matrix, Matrix A for example, such that I can

mat l A

and it spits these betas back at me. I'm familiar with using matrices generated by I guess what we'd call "normal" estimation commands, but I've never had to do this with the predict command. Any ideas on how I'd do this?

[William Lisowski]

–

[FernandoRios]

I dont think you can.
I just tried your example, and I didn't see any information left out by predict.
Thus, I imagine there are 2 options.
1) contact the author and ask him to "save" the matrix somewhere it can be recovered
2) create a pseudo version of his command, and hack it so the preferred beta matrix is saved somewhere

For instance, if you look into lasso_p.ado one line in the code says

                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)
                }

So you could add an added condition of storing this in another matrix (not a temporary one).

[Jared Greathouse]

I was hoping I could use the collect prefix to do it somehow... but if push comes to shove, I'll edit it