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: newadeslp
Description: slope estimation of average derivatives


Reference(s):

Usage: {delta,delta1,dvar} = newadeslp(x,y,h)
Input:
x n x p matrix , the observed explanatory variable
y n x 1 matrix , the observed response variable
h p x 1 vector or scalar , the bandwidth to be used during estimation of the scores
Output:
delta p x 1 vector , the indirect slope estimate
delta1 p x 1 vector , the indirect ADE
dvar p x p matrix , the estimated asymptotic covariance of delta1

Example:

library("metrics")

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

h   = 5

{delta,delta1,dvar} = newadeslp(x,y,h)              

delta

delta1

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: Rinaldo Brau 99.12.10, Sperlich 00.1.19
(C) MD*TECH Method and Data Technologies, 21.9.2000