anchor_stability {AnchorRegression}

anchor_stability

Description

Perform an Anchor Stability Analysis as described in Rothenhäusler et al.2020

Usage

anchor_stability(
  x,
  anchor,
  target_variable,
  lambda = 0,
  alpha = 0.05,
  p_procedure = "naive"
)

Arguments

x

is a dataframe containing the matrix x containing the independent variables

anchor

is a dataframe containing the matrix anchor containing the anchor variable

target_variable

is the target variable name contained in the x dataframe

lambda

indicates the lambda that is used in the Anchor Regression. 'CV' is used if it should be estimated by cross validation on the full subset.

alpha

significance level for test decision on coefficient significance

p_procedure

procedure to estimate stability. Option 1: naive - stable if effect is non-zero in all cases; Option 2: post-lasso - post selection inference using SelectiveInference package

Value

A dataframe containing the stability values for each coefficient

Examples

x <- as.data.frame(matrix(data = rnorm(1000),nrow = 100,ncol = 10))
anchor <- as.data.frame(matrix(data = rnorm(200),nrow = 100,ncol = 2))
colnames(anchor) <- c('X1','X2')
gamma <- 2
target_variable <- 'V2'
anchor_stability(x, anchor, target_variable, lambda, alpha=0.05, p_procedure = "naive")