Description Author(s) References
This package implements the two-stage penalized least squares (2SPLS) method proposed by Chen, Zhang and Zhang (2016), which can construct a large system of structural equations, with the k-th structural equation as Y_k = Y_{-k}γ_k+X_{S_k}ψ_{S_k}+ε_k.
Chen Chen <chen1167@stat.purdue.edu>, Dabao Zhang <zhangdb@stat.purdue.edu>.
Chen, C., Zhang, M., and Zhang, D. (2016) A Two-Stage Penalized Least Squares Method for Constructing Large Systems of Structural Equations. (Submitted)
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