Description Usage Arguments Details Value Author(s)
Three Pass Regression Filter
1 2 |
X |
Observations (typically lagged) |
y |
Targets |
Z |
Proxies |
L |
Scalar. Number of proxies if Z is NULL |
pls |
Partial Least Squares |
center |
Center the data? |
scale |
Scale the data |
closed_form |
Use closed form estimation |
fitalg |
OLS fit algorithm |
Fits the three pass regression filter
TPRF object
Mohamed Ishmael Diwan Belghazi
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