ablasso_uv {ablasso} | R Documentation |
AB-LASSO Estimator Without Sample Splitting
Description
Implements the AB-LASSO estimation method for the univariate model Y_{it} = \alpha_{i} + \gamma_{t} + \theta_{1} Y_{i,t-1} + \theta_{2} D_{it} + \varepsilon_{it}
, without sample splitting. Note that D_{it}
is predetermined with respect to \varepsilon_{it}
.
Usage
ablasso_uv(Y, D)
Arguments
Y |
A |
D |
A |
Value
A list with three elements:
theta.hat: Estimated coefficients.
std.hat: Estimated Standard errors.
stat: T-Statistics.
Examples
# Generate data
data1 <- generate_data(N = 300, P = 40)
# You can use your own data by providing matrices `Y` and `D`
results <- ablasso_uv(Y = data1$Y, D = data1$D)
print(results)
[Package ablasso version 1.0 Index]