RCTS (version 0.2.4)

initialise_beta: Initialisation of estimation of beta (the coefficients with the observable variables)

Description

Note: this needs to be called before the definition of grid.

Usage

initialise_beta(
  Y,
  X,
  S,
  robust,
  method_estimate_beta = "individual",
  nosetting_lmrob = FALSE
)

Value

Matrix with number of rows equal to the number of estimated variables plus one. If method_estimate_beta is set to the default ("individual"), the number of columns is equal to the number of time series in Y. If method_estimate_beta is set to "group" or to "homogeneous" the number of columns is equal to the number of groups.

Arguments

Y

Y: NxT dataframe with the panel data of interest

X

dataframe with the observed variables

S

estimated number of groups

robust

robust or classical estimation

method_estimate_beta

defines how beta is estimated. Default case is an estimated beta for each individual. Default value is "individual." Possible values are "homogeneous", "group" or "individual".

nosetting_lmrob

option to remove the recommended setting in lmrob(). It is much faster. Defaults to FALSE.

Examples

# \donttest{
X <- X_dgp3
Y <- Y_dgp3
# Set estimations for group factors and its loadings, and group membership
#  to the true value for this example.
lambda_group <- lambda_group_true_dgp3
factor_group <- factor_group_true_dgp3
beta_init <- initialise_beta(Y, X,
  S = 3, TRUE
)
# }