refit: Refit LASSO estimate into GLS

In DisaggregateTS: High-Dimensional Temporal Disaggregation

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).

DisaggregateTS documentation built on Oct. 31, 2024, 5:09 p.m.