plugin_lasso_int | R Documentation |
This is the internal function upon which the iceberg
wrapper is built. It performs standard
plugin lasso PPML estimation without fixed effects, relying on glmnet::glmnet
. As the other
internals in the package, it needs a y vector and an x matrix.
plugin_lasso_int(
y,
x,
tol = 1e-08,
glmnettol = 1e-12,
penweights = NULL,
colcheck = FALSE,
K = 50,
verbose = FALSE,
lambda = NULL,
icepost = FALSE
)
y |
Dependent variable (a vector). |
x |
Regressor matrix. |
tol |
Tolerance parameter for convergence of the IRLS algorithm. |
glmnettol |
Tolerance parameter to be passed on to |
penweights |
Optional: a vector of coefficient-specific penalties to use in plugin lasso. |
colcheck |
Logical. If |
K |
Maximum number of iterations. |
verbose |
Logical. If |
lambda |
Penalty parameter (a number). |
icepost |
Logical. If |
A list with 14 elements, including beta
, which is the only one we use in the wrapper.
For a full list, see glmnet.
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