Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: metrics
See also: adeind wtsder trimper dwade

Quantlet: adeslp
Description: slope estimation of average derivatives using binning

Reference(s):

Usage: {delta,dvar} = adeslp(x,y,d,m)
Input:
x n x p matrix , the observed explanatory variable
y n x 1 matrix , the observed response variable
d p x 1 vector or scalar , the binwidth or the grid
m p x 1 vector or scalar , the bandwidth to be used during estimation of the scores
Output:
delta p x 1 vector , the ADE estimate
dvar p x p matrix , the estimated asymptotic covariance matrix of delta

Example:

library("metrics")

randomize(0)

n   = 100

x   = normal(n,3)

z   = 0.2*x[,1] - 0.7*x[,2] + x[,3]

eps = normal(n,1) * sqrt(0.5)

y   = 2 * z^3 + eps

d   = 0.2

m   = 5

{delta,dvar} = adeslp(x,y,d,m)              

delta

dvar

Result:

the slope estimator for average derivatives and its 

asymptotic covariance matrix  as described by

Stoker in Barnett, Powell, Tauchen, "Nonparametric and

Semiparametric Methods in Econometrics and Statistics"

(1991)          and Turlach, Discussion Paper (1993)


Library: metrics
See also: adeind wtsder trimper dwade

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: Sperlich 960808
(C) MD*TECH Method and Data Technologies, 21.9.2000