| Library: | metrics |
| See also: | adeind adeslp |
| Macro: | dwade | |
| Description: | dwade estimation of the density weighted average derivatives |
| Usage: | d = dwade(x,y,h) | |
| Input: | ||
| x | n x d matrix , the observed explanatory variable | |
| y | n x 1 matrix , the observed response variable | |
| h | d x 1 or 1 x 1 matrix , chosen bandwidth | |
| Output: | ||
| d | d x 1 matrix, the density weighted average derivative estimator | |
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
h = 0.3
d = dwade(x,y,h)
d
the density weighted average derivative estimator of Powell, Stock and Stoker, Econometrica (1989)
| Library: | metrics |
| See also: | adeind adeslp |