cv.panel.sglpath function

Sorts cross-validation output for panel data regressions

Computes cvm and cvsd based on cross-validation fit.

cv.panel.sglpath(outlist, lambda, x, y, foldid, method, ...)

Arguments

• outlist: list of cross-validation fits.
• lambda: a sequence of $\lambda$ parameter.
• x: regressors
• y: response
• foldid: the fold assignment
• method: 'pooled' or 'fe'.
• ...: other arguments passed to predict.sgl

Returns

cvm and cvsd.