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: dwade adeind adeslp ndw

Quantlet: adedis
Description: adedis computes estimates of the slope coefficients in a single index model. The coefficents of the continuous variables are estimated by (an average of) dwade (density-weighted average derivtive) estimates. The coefficients of the disrete explanatory variables are estimated by the method proposed in Horowitz and Haerdle, JASA 1996.

Reference(s):

Usage: {delt,alphahat,lim,hd}=adedis(z,x,y,h,hfac,c0,c1)
Input:
z n x d1 matrix , the observed discrete explanatory variables
x n x d2 matrix , the observed continuous explanatory variables
y n x 1 matrix , the observed response variable
h d2 x 1 or 1 x 1 matrix , bandwidth for dwade etimation
hfac scalar, to scale bandwidth for estimation of the link function
c0,c1 scalars , monotonicity constants
Output:
delta d2 x 1 matrix, the density weighted average derivative estimates of the coefficients of the elements of x.
alphahat d1 x 1 matrix, the estimates of the coefficients of the elements of z.
lim 2 x 1 matrix, the limits of integration corrsponding to the parameters v0 and v1 in the paper of Horowitz and Haerdle.
hd d3 x 1 matrix , bandwidth for estimation of the link function for each of the d3 distinct values of the matrix z

Example:

library("metrics")

randomize(10178)

n=1000

z=(uniform(n).>0.5)~(uniform(n).<0.5)

x=normal(n)~normal(n)

ystar=1.5*z[,1]+0.25*z[,2]+1*x[,1]+2*x[,2]+normal(n)

y=(ystar>=0)

h = 0.2*(max(x)-min(x))'   

hfac = 1.5

c0=0.10564

c1=0.97725

{d,a,lim,hd}=adedis(z,x,y,h,hfac,c0,c1)

d

a

lim

hd

Result:

The slope coefficients, d, and intercept coefficients, a,

of a single index model E[y|x]=g(d'x+a'z) are computed.

The integration limits (lim) and bandwidths (hd) used in the 

estimation procedure are returned.


Library: metrics
See also: dwade adeind adeslp ndw

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: Charles de Garchy, 972412
(C) MD*TECH Method and Data Technologies, 21.9.2000