cv.panel.sglpath: Sorts cross-validation output for panel data regressions

In midasml: Estimation and Prediction Methods for High-Dimensional Mixed Frequency Time Series Data

Sorts cross-validation output for panel data regressions

Description

Computes cvm and cvsd based on cross-validation fit.

Usage

cv.panel.sglpath(outlist, lambda, x, y, foldid, method, ...)

Arguments

outlist	list of cross-validation fits.
lambda	a sequence of λ parameter.
x	regressors
y	response
foldid	the fold assignment
method	'pooled' or 'fe'.
...	other arguments passed to predict.sgl

Value

cvm and cvsd.

midasml documentation built on April 29, 2022, 9:06 a.m.