ols_helper: Helper function(least squares).

In postDoubleR: Post Double Selection with Double Machine Learning

Description

Helper function that dispatches to OLS for the post-double estimation.

Usage

ols_helper(X, Y, W)

Arguments

X	A matrix of covariates (must be all numeric)
Y	A vector of the target variable, of same length as the number of rows of Y, must be numeric
W	A vector of the treatment variable, of same length as the number of rows of X, must be numeric

Details

This function is mostly implemented to provide the option to use ols with cross fitting, though it is assumed that this will be rarely used.

Value

A list with two elements: The fitted W model and the fitted Y model.

Examples

  n = 2000; p = 10
  X = matrix(rnorm(n*p), n, p)
  W = rbinom(n, 1, 0.4 + 0.2 * (X[,1] > 0))
  Y = pmax(X[,1], 0) * W + X[,2] + pmin(X[,3], 0) + rnorm(n)

ols_helper(X = X,Y = Y, W = W)

postDoubleR documentation built on Oct. 7, 2019, 5:05 p.m.