Prediction made using regular multiple regression

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Reference no: EM133218022

Question: Generate a dataset of 200 observations, this time with 90 independent variables, each of mean 0 and sd 1. Create y such that: y = 2x1 + ... + 2x30 - x31 - ... - x60 + 0 ∗ x61 + ... + 0 ∗ x90 + e where e is a random normal variable with mean 0 and sd 10. (Ie, the first 30 x's have a coefficient of 2; the next 30 have a coefficient of -1; and the last 30 have a coefficient of 0.) 2 a. Perform an elastic net regression of y on all the x variables using just the first 100 observations. Use 10-fold cross-validation to find the best value of λ and approximately the best value of α. b. How accurate are your coefficients from

(a)? Summarize your results any way you like, but please don't give us the raw coefficients from 90 variables. c. Using the results from

(b), predict y for the second 100 observations. How accurate is your prediction? d. Attempt to compare the predictive accuracy here to the accuracy of a prediction made using regular multiple regression. Explain your results, including if the regular regression failed for any reason.

Reference no: EM133218022

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