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 n_l \times p matrix).

Y

Low-frequency response vector that has been GLS rotated (an n_l \times 1 vector).

beta

Estimated beta coefficients from the LARS algorithm (a p \times 1 vector).

Value

 A debiased estimate of the beta coefficients (a \eqn{p \times 1} vector).

[Package DisaggregateTS version 3.0.1 Index]