refit {DisaggregateTS} | R Documentation |
Refit LASSO estimate into GLS
Description
This function reduces the bias in LASSO estimates by re-fitting the active set of coefficients back into GLS (Generalized Least Squares).
Usage
refit(X, Y, beta)
Arguments
X |
Aggregated indicator series matrix that has been GLS rotated (an |
Y |
Low-frequency response vector that has been GLS rotated (an |
beta |
Estimated beta coefficients from the LARS algorithm (a |
Value
A debiased estimate of the beta coefficients (a \eqn{p \times 1} vector).
[Package DisaggregateTS version 3.0.1 Index]