init_values function

init_values is an auxiliary function for rlassoHAC, for fitting linear models with the method of least squares where only the variables in X with highest correlations are considered; taken from package hdm.

Source

Victor Chernozhukov, Chris Hansen, Martin Spindler (2016). hdm: High-Dimensional Metrics, R Journal, 8(2), 185-199. URL https://journal.r-project.org/archive/2016/RJ-2016-040/index.html.

init_values(X, y, number = 5, intercept = TRUE)

Arguments

• X: Regressors (matrix or object can be coerced to matrix).
• y: Dependent variable(s).
• number: How many regressors in X should be considered.
• intercept: Logical. If TRUE, intercept is included which is not penalized.

Returns

init_values returns a list containing the following components: - residuals: Residuals.

• coefficients: Estimated coefficients.