gKRLS

MaRDI QIDQ93396CRANFDO

Authors Max Goplerud, Qing Chang

Last update 7 November 2024

Copyright license GNU General Public License, version 2.0, GNU General Public License, version 3.0

Software version identifier 1.0.1, 1.0.2, PACKAGES.rds, 1.0.3, 1.0.4

Description

Kernel regularized least squares, also known as kernel ridge regression, is a flexible machine learning method. This package implements this method by providing a smooth term for use with 'mgcv' and uses random sketching to facilitate scalable estimation on large datasets. It provides additional functions for calculating marginal effects after estimation and for use with ensembles ('SuperLearning'), double/debiased machine learning ('DoubleML'), and robust/clustered standard errors ('sandwich'). Chang and Goplerud (2024) <doi:10.1017/pan.2023.27> provide further details.

Cites work

• Generalized Kernel Regularized Least Squares

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