FAS

Factor-Augmented Sparse Regression Tuning-Free Testing

CRAN Package

The 'FAS' package implements the bootstrap method for the tuning parameter selection and tuning-free inference on sparse regression coefficient vectors. Currently, the test could be applied to linear and factor-augmented sparse regressions, see Lederer & Vogt (2021, JMLR) https://www.jmlr.org/papers/volume22/20-539/20-539.pdf and Beyhum & Striaukas (2023) doi:10.48550/arXiv.2307.13364.


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  • Depends2 packages