estimates post: matrix has missing values

[tobiasrenkin]

I keep running into this error, even though I have excluded all observations with missing values in any variable.

A quick trace shows that the error arises after rlasso is run and tries to post "b" at line

ereturn post b, obs(N') depname(varY_d') esample(`touse')

I can "fix" it by removing variables one-by-one until I found the one that caused it. But I am not sure what the problem with that variable is. Could the problem be that it is colinear with other variables?

[tobiasrenkin]

Some more information: everything works fine when I include variables X1, X2, X3, ... XN. When I add the same variables squared, rlasso for predicting Y gives the following output (vverbose):

Estimation of penalty level/loadings: Step 1.
RMSE: .697080009
Lambda: 1363.61648
Average abs. loadings: 5.6936e+14
    iter   shoots       n(w)        n(step)           f(w)
       1       96  0.0000000e+00  0.0000000e+00  0.0000000e+00              .
Number of iterations: 1
Total Shoots: 96
Convergence achieved.
Initial beta and beta after estimation:
        1    2    3    4    5    6    7    8    9   10   11   12   13   14   15   16   17   18   19   20   21   22   23   24   25   26   27   28   29
    +--------------------------------------------------------------------------------------------------------------------------------------------------
  1 |   .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .
  2 |   .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .
    +--------------------------------------------------------------------------------------------------------------------------------------------------
       30   31   32   33   34   35   36   37   38   39   40   41   42   43   44   45   46   47   48   49   50   51   52   53   54   55   56   57   58
     --------------------------------------------------------------------------------------------------------------------------------------------------
  1     .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .
  2     .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .
     --------------------------------------------------------------------------------------------------------------------------------------------------
       59   60   61   62   63   64   65   66   67   68   69   70   71   72   73   74   75   76   77   78   79   80   81   82   83   84   85   86   87
     --------------------------------------------------------------------------------------------------------------------------------------------------
  1     .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .
  2     .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .    .
     --------------------------------------------------------------------------------------------------------------------------------------------------
       88   89   90   91   92   93   94   95   96
     ----------------------------------------------+
  1     .    .    .    .    .    .    .    .    .  |
  2     .    .    .    .    .    .    .    .    .  |
     ----------------------------------------------+
Change in RMSE: .001561638

[tobiasrenkin]

Using prestd option solves the problem.