For linear regression, we provide a simple R program that uses the lars package after reweighting the X matrix. We choose the tuning parameter using the "known variance" version of BIC with full model MSE for estimating the error variance. Example call and output and plot of BIC versus model size. This "known variance" version of BIC seemed to work well in simulations and matches up with the software below.
An important approximate adaptive lasso approach for many types of regression modeling was proposed by Wang and Leng (2007, JASA). We have taken their Least Squares Approximation (LSA) software from the second author's website and created a wrapper for linear regression. However, the software is easy to use without the wrapper: create a regression object in R, say "obj," and then lsa(obj). Example call and output. Comparing this output with the above adaptive lasso output using lars illustrates that the two programs give identical coefficient estimates for linear regression. We also checked this identity in simulations. Of course, in logistic regression and other regression situations the LSA adaptive lasso will not be identical to the full adaptive lasso based on the log likelihood (or loss function) plus penalty. Here is example use of LSA with logistic regression for the lucency data:
> read.table("lucency.data.txt",header=T)->lucency > glm(lucency~blade_size+I(1/tt_area)+I(1/tt_width)+age+wt_kg+pin+unibi,family=binomial,data=lucency)->out > out Call: glm(formula = lucency ~ blade_size + I(1/tt_area) + I(1/tt_width) + age + wt_kg + pin + unibi, family = binomial, data = lucency) Coefficients: (Intercept) blade_size I(1/tt_area) I(1/tt_width) age -12.18910 0.01898 -37.97180 36.88735 0.25408 wt_kg pin unibi 0.06356 1.13983 2.49374 Degrees of Freedom: 218 Total (i.e. Null); 211 Residual Null Deviance: 129.2 Residual Deviance: 98.37 AIC: 114.4 > source("LSA.R.txt") > lsa(out) $beta.ols (Intercept) blade_size I(1/tt_area) I(1/tt_width) age -12.18910399 0.01897884 -37.97180291 36.88735217 0.25408239 wt_kg pin unibi 0.06355784 1.13982947 2.49373744 $beta.bic  -2.1782283 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000 0.0000000  0.8468798 $beta.aic  -11.45609123 0.00000000 0.00000000 33.49036320 0.25048200 0.06380635  1.10105494 2.47889917