tsls.regtsls

class tsls.regtsls(cv=2, n_alphas=50)[source]

Regularized two-stage least squares estimator using Elastic Net.

This class implements the regularized TSLS estimator using Elastic Net regression.

Parameters

  • cv (int) – Number of folds for cross-validation.

  • n_alphas (int) – Number of alpha-scale candidates when alpha_scales=’auto’.