fitted_values: This function extracts a subset of active variables (nm_act)...

In MCKnaus/dmlmt: Double Machine Learning for Multiple Treatments

Description

This 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

fit_val fitted values in the prediction sample

MCKnaus/dmlmt documentation built on Dec. 4, 2020, 9:48 a.m.