erfeVecR {erfe} | R Documentation |
Dexpectilize a vector according the a single asymmetric point
Description
This function is part of the erfe package. It estimates
the ERFE model for a panel dataset and for a
single asymmetric point .
When
the function estimate the classical
within-transformation estimator and its sandwich
covariance matrix.
Usage
erfeVecR(xmat, yvec, panSizeVec, asym, id)
Arguments
xmat |
Numeric vector to de-expectilize. |
yvec |
Numeric vector of individual asymmetric weight. |
panSizeVec |
Numeric vector to individual panel size. |
asym |
Numeric vector to individual panel size. |
id |
Numeric vector to individual panel size. |
Value
Return a list of objects related to the erfe model such as the asymmetric point, the coefficient-estimate, the standard deviation, the estimated covariance.
Author(s)
Amadou Barry, barryhafia@gmail.com
References
Barry, Amadou, Oualkacha, Karim, and Charpentier Arthur. (2022). Weighted asymmetric least squares regression with fixed-effects. arXiv preprint arXiv:2108.04737
Examples
set.seed(13)
temps_obs <- 5
n_subj <- 50
sig <- diag(rep(1,temps_obs))
id <- rep(1:n_subj, each=temps_obs)
rvec <- c(mvtnorm::rmvnorm(n_subj, sigma = sig))
fvec <- (1 + rep(rnorm(n_subj) , each=temps_obs))
xmat <- cbind(rt(n_subj*temps_obs, df=2, ncp=1.3),
1.2 * fvec + rnorm(n_subj * temps_obs, mean = 0.85, sd = 1.5) )
yvec <- 0.6*xmat[, 1] + xmat[, 2] + fvec + rvec
asym <- 0.5
panSizeVec <- unname(unlist(lapply(split(id, id), function(x) length(x))))
erfeVecR(xmat, yvec, panSizeVec, asym, id)