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: eiv
See also: eivknownvaru

Quantlet: eivknownvarumod
Description: eivknownvarumod presents modified moment estimates of parameters for the measurement error models, which has only one variable x. The variance of measurement error sigma_u is known. All of the variables obey normal distributions.

Reference(s):

Link:
Usage: {mux,beta1,beta0,sigmax, sigmae,varbeta1,varbeta0} =eivknownvarumod(alpha,w,y,sigmau)
Input:
alpha scalar
w n x 1 matrix, the design variables
y n x 1 matrix, the response
sigmau scalar, the variance of measurement error sigma_u
Output:
mux scalar, the mean value of x
beta1 scalar, the estimate
beta0 scalar, the estimate
sigmax scalar, the estimate of the variance of x
sigmae scalar, the estimate of the variance of error e
varbeta1 scalar, the estimate of the variance of the estimate of beta1
varbeta0 scalar, the estimate of the variance of the estimate of beta0

Example:

library("eiv")

n = 100

randomize(n)

x=9*normal(n)

w=x+9*normal(n)

y=0.9+0.8*x+0.01*normal(n)

alpha=5

sigmau=81

gest=eivknownvarumod(alpha,w,y,sigmau)

gest.mux

gest.beta1

gest.beta0

gest.sigmax

gest.sigmae

gest.varbeta1   ; the estimate of the variance of the estimate of beta1

gest.varbeta0   ; the estimate of the variance of the estimate of beta0

Result:

Contents of mux

[1,] -0.93396 

Contents of beta1

[1,]  0.84348 

Contents of beta0

[1,]  0.3736

Contents of sigmax

[1,]    64.17 

Contents of sigmae

[1,]  7.3409

Contents of varbeta1

[1,]   0.032728

Contents of varbeta0

[1,]   0.62606


Library: eiv
See also: eivknownvaru

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: Hua Liang, 961215
(C) MD*TECH Method and Data Technologies, 21.9.2000