fitted_values: This helper function extracts a subset of active variables...

In MCKnaus/causalDML: Causal Double Machine Learning

This helper function extracts a subset of active variables (nm_act) of the relavant variables from X'X and X'y to get out-of-sample predictions for a matrix containing only the active variables This speeds up the cross-validation for post-Lasso to a large extent

Description

This helper function extracts a subset of active variables (nm_act) of the relavant variables from X'X and X'y to get out-of-sample predictions for a matrix containing only the active variables This speeds up the cross-validation for post-Lasso to a large extent

Usage

fitted_values(XtX_all, Xty_all, x_pred, nm_act)

Arguments

XtX_all	Crossproduct of all covariates
Xty_all	Crossproduct of covariates and outcome
x_pred	Covariates matrix of the PREDICTION sample
nm_act	names of active variables

Value

Fitted values in the prediction sample

MCKnaus/causalDML documentation built on Aug. 19, 2023, 5:47 p.m.