{smcl} {* *! version 1.0.0 12feb2023}{...} {findalias asfradohelp}{...} {vieweralsosee "posis" "help posis"}{...} {viewerjumpto "Syntax" "isis##syntax"}{...} {viewerjumpto "Description" "isis##description"}{...} {viewerjumpto "Options" "isis##options"}{...} {viewerjumpto "Examples" "isis##examples"}{...} {viewerjumpto "Stored results" "isis##results"}{...} {viewerjumpto "Reference" "isis##reference"}{...} {title:Title} {phang} {bf:isis} {hline 2} Iterative sure independence screening for prediction and covariate selection {* ---------------------------------------- SYNTAX} {marker syntax}{...} {title:Syntax} {p 8 14 2} {cmd:isis} {depvar} {it:controls} {ifin} {weight} {cmd:,} {cmd:model({help isis##modelspec:{it:model_spec}})} [{help isis#options:{it:options}}] {pstd} {it:controls} are variables that {help isis} will choose to include or exclude from the model. {synoptset 30 tabbed}{...} {synopthdr} {synoptline} {p2coldent :* {cmd:model({help isis##modelspec:{it:model_spec}})}}specify the model {p_end} {synopt : {cmd:method({help isis##methodspec:{it:method_spec}})}}specify the variable selection technique{p_end} {synopt: {cmd:always({varlist})}}specify the variables always included in the model{p_end} {synopt : {cmd:maxiter(}{it:#}{cmd:)}}specify the maximum number of iterations{p_end} {synoptline} {p2colreset}{...} {marker modelspec}{...} {synoptset 30}{...} {synopthdr:model_spec} {synoptline} {synopt :{cmd:linear}}linear regression {p_end} {synopt :{cmd:logit}}logit regression {p_end} {synopt :{cmd:poisson}}Poisson regression {p_end} {synoptline} {marker methodspec}{...} {synoptset 30}{...} {synopthdr:method_spec} {synoptline} {synopt :{cmd:stepbic}}BIC-based stepwise{p_end} {synopt :{cmd:lasso , {help isis##lassospec:{it:lasso_spec}}}}lasso {p_end} {synoptline} {marker lassospec}{...} {synoptset 30}{...} {synopthdr:lasso_spec} {synoptline} {synopt :{cmd:cv}}cross-validation{p_end} {synopt :{cmd:plugin}}plug-in method{p_end} {synopt :{cmd:adaptive}}adaptive lasso{p_end} {synopt :{cmd: bic}}minimize BIC; the default{p_end} {synoptline} {p 4 6 2} * {opt model()} is required.{p_end} {p 4 6 2} {cmd:fweight}s and {cmd:iweight}s are allowed. See {help weight}.{p_end} {p 4 6 2} For {help isis##modelspec:{it:model_spec}}, only one of {cmd:linear}, {cmd:logit}, or {cmd:poisson} is allowed.{p_end} {p 4 6 2} For {help isis##methodspec:{it:method_spec}}, only one of {cmd:stepbic} or {cmd:lasso} is allowed. {p_end} {p 4 6 2} For {help isis##lassospec:{it:lasso_spec}}, only one of {cmd:cv}, {cmd:plugin}, {cmd:adaptive}, or {cmd:bic} is allowed. {p_end} {* ---------------------------------------- Description} {marker description}{...} {title:Description} {pstd} {cmd:isis} implements the covariate selector that combines iterative sure independence screening (ISIS) with Lasso or BIC-based stepwise technique for the linear, logit, and Poisson models. {cmd:isis} potentially allows for ultra-high dimensional covariates. The selected variables can be used for prediction or as an intermediate step in the construction of the Neyman orthogonal estimator implemented in {help posis} proposed in D. Drukker and D. Liu (2022a) and (2022b). {* ---------------------------------------- Options} {marker options} {title:Options} {phang} {cmd:model({it:model_spec})} specifies the model for the outcome variable {it:depvar}. {it:model_spec} can be one of {cmd:linear}, {cmd:logit}, or {cmd: poisson} model. {cmd:model()} is required. {phang} {cmd:method({it:method_spec})} specifies the covariate selection technique to be used within sure independence screening. {it:method_spec} is one of {cmd:stepbic} or {cmd:lasso, {it:lasso_spec}}, where {cmd:stepbic} refers to the BIC-based forward stepwise methods and {cmd:lasso} refers to the Lasso; see {help lasso}. {phang2} {it:lasso_spec} specifies how to chose the tuning parameter in Lasso, and it can be one of {cmd:cv}, {cmd:plugin}, {cmd:adaptive}, or {cmd:bic}. See {help lasso##selmethod:{it:sel_method}} in {help lasso}. {phang2} The default is using Lasso and chosing the tuning parameter by minimizing BIC, which is equivalent to specifying {cmd:method(lasso, bic)}. {phang} {cmd:always({it:varlist})} specifies the variables that will always be included in the model. The default is none. {phang} {cmd:maxiter({it:#})} specifies the maximum number of iterations. The default is 5. {* ---------------------------------------- Examples} {marker examples}{...} {title:Examples} {pstd}Setup{p_end} {phang2}{cmd:. webuse cattaneo2} {pstd}ISIS linear regression{p_end} {phang2} {cmd:. isis bweight c.mage##c.mage c.fage##c.fage c.mage#c.fage c.fedu##c.medu} {cmd: i.(mmarried mhisp fhisp foreign alcohol msmoke fbaby prenatal1)} {cmd:, model(linear)} {pstd}As above but use plugin-based LASSO{p_end} {phang2} {cmd:. isis bweight c.mage##c.mage c.fage##c.fage c.mage#c.fage c.fedu##c.medu} {cmd: i.(mmarried mhisp fhisp foreign alcohol msmoke fbaby prenatal1)} {cmd:, model(linear) method(lasso, plugin)} {pstd}As above but use BIC-based stepwise{p_end} {phang2} {cmd:. isis bweight c.mage##c.mage c.fage##c.fage c.mage#c.fage c.fedu##c.medu} {cmd: i.(mmarried mhisp fhisp foreign alcohol msmoke fbaby prenatal1)} {cmd:, model(linear) method(stepbic)} {marker results}{...} {title:Stored results} {pstd} {cmd:isis} stores the following in {cmd:e()}: {synoptset 20 tabbed}{...} {p2col 5 20 24 2: Scalars}{p_end} {synopt: {cmd: e(N)}} number of observations {p_end} {synopt: {cmd: e(screen_size)}} screen size {p_end} {synopt: {cmd: e(k_controls)}} number of control variables {p_end} {synopt: {cmd: e(iter)}} actual number of iterations {p_end} {synopt: {cmd: e(maxiter)}} maximum number of iterations {p_end} {synopt: {cmd: e(k_controls_sel)}} number of selected controls {p_end} {synoptset 20 tabbed}{...} {p2col 5 20 24 2: Macros}{p_end} {synopt: {cmd :e(cmd_extend)}} {cmd:isis} {p_end} {synopt: {cmd :e(title)}} coefficient table title {p_end} {synopt: {cmd :e(selopt)}} selection method suboptions {p_end} {synopt: {cmd :e(selcmd)}} selection method command {p_end} {synopt: {cmd :e(depvar)}} depvar {p_end} {synopt: {cmd :e(model)}} model {p_end} {synopt: {cmd :e(allvars_sel)}} name of the selected variables {p_end} {synopt: {cmd :e(allvars)}} name of all the variables {p_end} {synoptset 20 tabbed}{...} {p2col 5 20 24 2: Matrices}{p_end} {synopt: {cmd:e(b)}}coefficient vector {p_end} {synoptset 20 tabbed}{...} {p2col 5 20 24 2: Functions}{p_end} {synopt:{cmd:e(sample)}}marks estimation sample{p_end} {p2colreset}{...} {* ---------------------------------------- Reference} {marker reference}{...} {title:Reference} {phang} Drukker, D. M., and D. Liu. 2022a. Finite-sample results for lasso and stepwise Neyman-orthogonal Poisson estimators. Econometric Reviews 41(9): 1047–1076. {phang} Drukker, D. M., and D. Liu. 2022b. posis: Stata command for the sure-independence-screening Neyman-orthogonal estimator.