make_pliv_multiway_cluster_CKMS2021 {DoubleML} | R Documentation |
Generates data from a partially linear IV regression model with
multiway cluster sample used in Chiang et al. (2021).
Description
Generates data from a partially linear IV regression model with multiway
cluster sample used in Chiang et al. (2021). The data generating process
is defined as
Zij=Xij′ξ0+Vij,
Dij=Zij′π10+Xij′π20+vij,
Yij=Dijθ+Xij′ζ0+εij,
with
Xij=(1−ω1X−ω2X)αijX+ω1XαiX+ω2XαjX,
εij=(1−ω1ε−ω2ε)αijε+ω1εαiε+ω2εαjε,
vij=(1−ω1v−ω2v)αijv+ω1vαiv+ω2vαjv,
Vij=(1−ω1V−ω2V)αijV+ω1VαiV+ω2VαjV,
and αijX,αiX,αjX∼N(0,Σ)
where Σ
is a px×px
matrix with entries
Σkj=sX∣j−k∣
.
Further
(αijεαijv),(αiεαiv),(αjεαjv)∼N(0,(1sεvsεv1))
and αijV,αiV,αjV∼N(0,1)
.
Usage
make_pliv_multiway_cluster_CKMS2021(
N = 25,
M = 25,
dim_X = 100,
theta = 1,
return_type = "DoubleMLClusterData",
...
)
Arguments
N |
(integer(1) )
The number of observations (first dimension).
|
M |
(integer(1) )
The number of observations (second dimension).
|
dim_X |
(integer(1) )
The number of covariates.
|
theta |
(numeric(1) )
The value of the causal parameter.
|
return_type |
(character(1) )
If "DoubleMLClusterData" , returns a DoubleMLClusterData object.
If "data.frame" returns a data.frame() .
If "data.table" returns a data.table() .
If "matrix" a named list() with entries X , y , d , z and
cluster_vars is returned.
Every entry in the list is a matrix() object. Default is "DoubleMLClusterData" .
|
... |
Additional keyword arguments to set non-default values for the parameters
π10=1.0 ,
ωX=ωε=ωV=ωv=(0.25,0.25) ,
sX=sεv=0.25 , or the px -vectors
ζ0=π20=ξ0 with default entries
ζ0)j=0.5j .
|
Value
A data object according to the choice of return_type
.
References
Chiang, H. D., Kato K., Ma, Y. and Sasaki, Y. (2021),
Multiway Cluster Robust Double/Debiased Machine Learning,
Journal of Business & Economic Statistics,
doi:10.1080/07350015.2021.1895815, https://arxiv.org/abs/1909.03489.
[Package
DoubleML version 1.0.1
Index]