ablasso_uv: AB-LASSO Estimator Without Sample Splitting
Description
Implements the AB-LASSO estimation method for the univariate model \(Y_{it} = \alpha_{i} + \gamma_{t} + \theta_{1} Y_{i,t-1} + \theta_{2} D_{it} + \varepsilon_{it}\), without sample splitting. Note that \(D_{it}\) is predetermined with respect to \(\varepsilon_{it}\).
Usage
ablasso_uv(Y, D)
Value
A list with three elements:
theta.hat: Estimated coefficients.
std.hat: Estimated Standard errors.
stat: T-Statistics.
Arguments
Y
A P x N (number of time periods x number of individuals) matrix containing the outcome/response variable Y.
D
A P x N (number of time periods x number of individuals) matrix containing the policy variable/treatment D.
# Generate datadata1 <- generate_data(N = 300, P = 40)
# You can use your own data by providing matrices `Y` and `D`results <- ablasso_uv(Y = data1$Y, D = data1$D)
print(results)