TPRF: Three Pass Regression filter

In IshmaelBelghazi/ThreePass: Three Pass Regression Filter for R

Description

Three Pass Regression Filter

Usage

TPRF(X, y, Z = NULL, L = NULL, pls = FALSE, center = FALSE,
  scale = TRUE, closed_form = FALSE, fitalg = 2)

Arguments

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

Details

Fits the three pass regression filter

Value

TPRF object

Author(s)

Mohamed Ishmael Diwan Belghazi

IshmaelBelghazi/ThreePass documentation built on May 7, 2019, 6:44 a.m.