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: eivlinearinstrvec

Quantlet: eivlinearinstr
Description: eivlinearinstr presents the moment estimates of the regression coefficients in the measurement error model with single predictor, which has an instrumental variable W. All of the variables obey normal distributions. All parameters are estimated by moment method in measurement error models.

Reference(s):

Link:
Usage: {beta1,beta0,varbeta1,varbeta0} = eivlinearinstr(x,w,y)
Input:
x n x 1 matrix, the design variables
w n x 1 matrix, the instrumental variables
y n x 1 matrix, the response
Output:
beta1 scalar, the estimate
beta0 scalar, the estimate
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)

V=uniform(n,3).*#(4,3,4)'+#(3,3,3)'

y=V[,1]

x=V[,2]

w=V[,3]

gest=eivlinearinstr(x,w,y)

gest.beta1

gest.beta0

gest.varbeta1   

gest.varbeta0	   

Result:

Contents of beta1

[1,]  -1.1709 

Contents of beta0

[1,]   10.135 

Contents of varbeta1

[1,]   7.3944 

Contents of varbeta0

[1,]   152.02  


Library: eiv
See also: eivlinearinstrvec

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, 970730
(C) MD*TECH Method and Data Technologies, 21.9.2000