ablasso_uv: AB-LASSO Estimator Without Sample Splitting

In ablasso: Arellano-Bond LASSO Estimator for Dynamic Linear Panel Models

AB-LASSO Estimator Without Sample Splitting

Description

Implements the AB-LASSO estimation method for the univariate model Y_{it} = \alpha_{i} + \gamma_{t} + \theta_{1} Y_{i,t-1} + \theta_{2} D_{it} + \varepsilon_{it}, without sample splitting. Note that D_{it} is predetermined with respect to \varepsilon_{it}.

Usage

ablasso_uv(Y, D)

Arguments

Y	A P x N (number of time periods x number of individuals) matrix containing the outcome/response variable Y.
D	A P x N (number of time periods x number of individuals) matrix containing the policy variable/treatment D.

Value

A list with three elements:

• theta.hat: Estimated coefficients.

• std.hat: Estimated Standard errors.

• stat: T-Statistics.

Examples

# Generate data
data1 <- generate_data(N = 300, P = 40)

# You can use your own data by providing matrices `Y` and `D`
results <- ablasso_uv(Y = data1$Y, D = data1$D)
print(results)

ablasso documentation built on April 4, 2025, 1:42 a.m.