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WALS (version 0.2.5)

Weighted-Average Least Squares Model Averaging

Description

Implements Weighted-Average Least Squares model averaging for negative binomial regression models of Huynh (2024) , generalized linear models of De Luca, Magnus, Peracchi (2018) and linear regression models of Magnus, Powell, Pruefer (2010) , see also Magnus, De Luca (2016) . Weighted-Average Least Squares for the linear regression model is based on the original 'MATLAB' code by Magnus and De Luca , see also Kumar, Magnus (2013) and De Luca, Magnus (2011) .

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Install

install.packages('WALS')

Monthly Downloads

102

Version

0.2.5

License

GPL-2 | GPL-3

Issues

0

Pull Requests

0

Stars

1

Forks

0

Maintainer

Kevin Huynh

Last Published

June 21st, 2024

Functions in WALS (0.2.5)

controlNB

Control function for initial NB fit
computeGamma1r

Internal function: Computes fully restricted one-step ML estimator for transformed regressors in walsNB
GrowthMPP

Determinants of Economic Growth
computePosterior

Internal function: Compute posterior mean and variance of normal location problem
ddweibull

Internal function: double (reflected) Weibull density
computeX2M1X2

Internal function: Computes X2M1X2 for walsNB when SVD is applied to Z1
computeGammaUnSVD

Internal function: Computes unrestricted one-step ML estimator for transformed regressors in walsNB
familyWALS

Extended Family Objects for Models
predict.wals

Methods for wals and walsMatrix Objects
familyPrior

Family Objects for Prior Distributions in WALS
dsubbotin

Internal function: Subbotin density
gammaToBeta

Internal function: Transform gammas back to betas
dlaplace

Internal function: Laplace density
walsGLMfit

Fitter function for Weighted Average Least Squares estimation of GLMs
walsGLMfitIterate

Iteratively fitting walsGLM, internal function for walsGLM.formula and walsGLM.matrix.
snbinom

Internal function: first derivatives of NB2 PMF
fitNB2

Internal function: Fits a NB2 regression via maximum likelihood with log-link for mean and dispersion parameter.
predict.walsGLM

Methods for walsGLM, walsGLMmatrix, walsNB and walsNBmatrix Objects
walsFit

Fitter function for Weighted Average Least Squares estimation
walsGLM

Weighted Average Least Squares for Generalized Linear Models
walsNBfitIterate

Iteratively fitting walsNB, internal function for walsNB.formula and walsNB.matrix.
svdLSplus

Internal function: Uses SVD components to compute final estimate via Sherman-Morrison-Woodbury formula.
vcov.walsNB

Calculate Variance-Covariance Matrix for a "walsNB" object
predictCounts

Internal methods: Predict probability for counts
negativeBinomial

Negative binomial family
wals

Weighted-Average Least Squares for linear regression models
walsNB

Weighted-Average Least Squares for Negative Binomial Regression
semiorthogonalize

Internal function: Semiorthogonal-type transformation of X2 to Z2
walsNBfit

Fitter function for Weighted Average Least Squares estimation of NB2 regression model
checkSingularitySVD

Internal function: Check singularity of SVDed matrix
computeGamma1

Internal function: Compute model-averaged estimator of focus regressors in walsNB
GrowthMP

Determinants of Economic Growth
controlGLM

Control function for initial GLM fit