| estimate_param {robust2sls} | R Documentation |
Estimation of moments of the data
Description
NOTE (12 Apr 2022): probably superseded by estimate_param_null() function taken out of testing
Usage
estimate_param(robust2SLS_object, iteration)
Arguments
robust2SLS_object |
An object of class |
iteration |
An integer >= 0 specifying based on which model iteration the moments should be estimated. The model iteration affects which observations are determined to be outliers and these observations will hence be excluded during the estimation of the moments. |
Details
DO NOT USE YET!
estimate_param can be used to estimate certain moments of the data
that are required for calculating the asymptotic variance of the gauge. Such
moments are the covariance between the standardised first stage errors and
the structural error \Omega, the covariance matrix of the first stage
errors \Sigma, the first stage parameter matrix \Pi, and more.
Value
estimate_param returns a list with a similar structure as the
output of the Monte Carlo functionality generate_param. Hence, the
resulting list can be given to the function gauge_avar as argument
parameters to return an estimate of the asymptotic variance of the
gauge.
Warning
The function is not yet fully developed. The estimators of the moments are at the moment not guaranteed to be consistent for the population moments. DO NOT USE!