Man pages for zhan-gao/LasForecast
Time series linear predictive regression
| adalasso | Implement Adaptive Lasso via glmnet |
| bss | Implement best subset selection via Mixed Integer... |
| bss.bic | Implement best subset selection via Mixed Integer... |
| csr | Elliott, Gargano and Timmermann (2013) COMPLETE SUBSET... |
| csr.bic | Elliott, Gargano and Timmermann (2013) COMPLETE SUBSET... |
| debias_ivx | Debiased IVX for predictive regression |
| est_sigma_mat | Estimate the sample covariance matrix |
| find_tau_max | Find the largest tau for L2-Relaxation |
| find_tau_max_reg | Find the minimum tau such that equal weight solve the l_2... |
| fit_lasso | Run Lasso estimation |
| generate_iv | Self-generated IVs |
| get_lambda_seq | Get the lambda sequence |
| get_lasso_lambda_max | Get the maximum lambda value for lasso |
| ivx_inference | IVX inference and naive OLS |
| l2_relax | l2-relaxation forecast combination A wrapper function with... |
| l2_relax_comb_opt | Solve L2-relaxation primal problem Details refer to Shi, Su... |
| l2_relax_reg_opt | Solve L2-relaxation for a regression problem |
| LasForecast | LasForecast: Time series linear predictive regression |
| lasso_weight_opt | Implement weighted Lasso estimation (second step of adaptive... |
| lasso_weight_single | Implement weighted Lasso estimation (second step of adaptive... |
| lrcov_est | Long-run covariance estimator |
| plot_coef | Coefficient plot |
| plot_trend | Trend plot |
| post_lasso | post-selection estimation |
| post_lasso_inference | Post Lasso inference |
| roll_predict | Rolling window forecast |
| roll_predict_l2relax | Rolling window forecast |
| sd_n | standard deviation of x |
| talasso | Implement repeated Lasso estimation |
| train_l2_relax | Do parameter tuning for L2-Relaxation |
| train_lasso | Do parameter tuning for Lasso and Adaptive lasso |
| train_talasso | Do parameter tuning for Twin Adaptive Lasso (TALasso) |
| US_industry_prod | Growth Rate of US industrial Production Index. |
