| Library: | plm |
| See also: | plmk plmlorg |
| Macro: | plmp | |
| Description: | plmp estimates the parametric part in partially linear models by using piecewise polynomial to approximate the nonparametric part |
| Usage: | res = plmp(x,t,y,m,mn) | |
| Input: | ||
| x | n x p matrix, the design | |
| t | n x 1 matrix, the design in [0, 1] | |
| y | n x 1 matrix, the response | |
| m | scalar, degree of piecewise polynomial | |
| mn | scalar, the numbers of intervals divided [0, 1] with length 1/mn. | |
| Output: | ||
| res.hbeta | p x 1 matrix, the estimate of the parameter | |
| res.hg | n x 1 matrix, estimate of nonparameter function | |
library("plm")
n = 100
sig=0*matrix(3,3)
sig[,1]=#(0.81,0.1,0.2)
sig[,2]=#(0.1,2.25,0.1)
sig[,3]=#(0.2,0.1,1)
x =normal(n,3)*sig
t =sort(uniform(n))
beta0=#(1.2, 1.3, 1.4)
y =x*beta0+t^3+0.01*normal(n)
m =2
mn=5
res=plmp(x,t,y,m,mn)
ddp=createdisplay(1,1)
datah1=t~t^3
datah2=t~res.hg
part=grid(1,1,rows(t))'
setmaskp(datah1,1,0,1)
setmaskp(datah2,4,0,3)
setmaskl(datah1,part,1,1,1)
setmaskl(datah2,part,4,1,3)
show(ddp,1,1,datah1,datah2)
setgopt(ddp,1,1,"xlabel","T","title","Simulation comparison","ylabel","g(T) and its estimate values")
The parameter estimates, see Hung Chen "Convergence Rates for Parametric Components in A Partly Liner Model", Ann. of Statist. (1988) 16, 136-146.
| Library: | plm |
| See also: | plmk plmlorg |