lambda_matrix {esreg}

Lambda Matrix

Description

Estimate the lambda matrix.

Usage

lambda_matrix(object, sparsity, bandwidth_estimator, misspec)

Arguments

object

An esreg object

sparsity

The estimator to be used for the sparsity in \Lambda, see density_quantile_function

• iid - Piecewise linear interpolation of the distribution

• nid - Hendricks and Koenker sandwich

bandwidth_estimator

The bandwidth estimator to be used for the iid and nid sparsity estimator, see density_quantile_function

• Bofinger

• Chamberlain

• Hall-Sheather

misspec

if TRUE, the estimator accounts for potential misspecification in the model