FAS - Inference methods for Factor-Augmented Sparse Regression

The FAS package implements inference methods for high-dimensional inference on sparse regression coefficient. In addition, the package is equipped with the functionality for adaptively selecting the LASSO regression tuning parameter for linear and factor-augmented sparse regression.

The approach is based on adapetively bootstrapping the effective noise of the LASSO regression, for more details see ¹².

# CRAN version - 1.0.0
install.packages(FAS) 

# Development version - 1.0.0
# install.packages("FAS")
library(devtools)
install_github("jstriaukas/FAS")

Jad Beyhum gratefully acknowledges financial support from the Research Fund KU Leuven through the grant STG/23/014. Jonas Striaukas gratefully acknowledges the financial support from the European Commission, MSCA-2022-PF Individual Fellowship, Project 101103508. Project Acronym: MACROML.