refit function

Refit LASSO estimate into GLS

This function reduces the bias in LASSO estimates by re-fitting the support back into GLS.

refit(X, Y, beta)

Arguments

• X: Aggregated indicator series matrix that has been GLS rotated.
• Y: Low-frequency response vector that has been GLS rotated.
• beta: Estimate of beta from LARS algorithm for a certain lambda.