Ridge regression with interaction term

[Abdul Sattar]

I am interested in testing the interaction term between a binary and continuous variable using ridgereg command. But the stata says it is not allowed. Thank you to let me know if there is any specific command to test the interaction term using ridge regression analysis. Thanks

[Rich Goldstein]

this is a fairly old user-written command; you may do better with the official -lasso- (which has a ridge option) or the newer user-written lasso2 command each of which, I believe, accepts factor variable notation

added: should have included that if you are using an older version of Stata, you can probably either use the -xi- command or make your own interaction term and include that in your -ridgereg- command