LASSO with a Gamma, Log link GLM

[Nikhil Saifullah]

I am trying to run LASSO regression on a GLM model with gamma variance and a log link function but I cannot find any STATA packages that will allow me to do this. I have looked at the "lars" package and the "plogit" package but neither seems compatible with my model specification. I know MATLAB has an inbuilt LASSO-GLM package so it seems likely that there would be one for STATA; is there a package somewhere that I'm missing?

Thanks

[Nick Cox]

I doubt it.

[Steve Samuels]

The glmnet package in R will do this and you can call it from Roger Newson's rsource (SSC).