init_values {tsapp}

init_values is an auxiliary function for rlassoHAC, for fitting linear models with the method of least squares where only the variables in X with highest correlations are considered; taken from package hdm.

Description

init_values is an auxiliary function for rlassoHAC, for fitting linear models with the method of least squares where only the variables in X with highest correlations are considered; taken from package hdm.

Usage

init_values(X, y, number = 5, intercept = TRUE)

Arguments

X

Regressors (matrix or object can be coerced to matrix).

y

Dependent variable(s).

number

How many regressors in X should be considered.

intercept

Logical. If TRUE, intercept is included which is not penalized.

Value

init_values returns a list containing the following components:

residuals

Residuals.

coefficients

Estimated coefficients.

Source

Victor Chernozhukov, Chris Hansen, Martin Spindler (2016). hdm: High-Dimensional Metrics, R Journal, 8(2), 185-199. URL https://journal.r-project.org/archive/2016/RJ-2016-040/index.html.