simsart | R Documentation |
simsart
is used to simulate censored data with social interactions (see details). The model is presented in Xu and Lee(2015).
simsart(
formula,
contextual,
Glist,
theta,
tol = 1e-15,
maxit = 500,
RE = FALSE,
data
)
formula |
an object of class formula: a symbolic description of the model. The |
contextual |
(optional) logical; if true, this means that all individual variables will be set as contextual variables. Set the
|
Glist |
the adjacency matrix or list sub-adjacency matrix. |
theta |
the parameter value as |
tol |
the tolerance value used in the Fixed Point Iteration Method to compute |
maxit |
the maximal number of iterations in the Fixed Point Iteration Method. |
RE |
a Boolean which indicates if the model if under rational expectation of not. |
data |
an optional data frame, list or environment (or object coercible by as.data.frame to a data frame) containing the variables
in the model. If not found in data, the variables are taken from |
The left-censored variable \mathbf{y}
is generated from a latent variable \mathbf{y}^*
.
The latent variable is given for all i as
y_i^* = \lambda \mathbf{g}_i y + \mathbf{x}_i'\beta + \mathbf{g}_i\mathbf{X}\gamma + \epsilon_i,
where \epsilon_i \sim N(0, \sigma^2)
.
The censored variable y_i
is then define that is y_i = 0
if
y_i^* \leq 0
and y_i = y_i^*
otherwise.
A list consisting of:
yst |
ys (see details), the latent variable. |
y |
the censored variable. |
yb |
expectation of y under rational expectation. |
Gy |
the average of y among friends. |
Gyb |
Average of expectation of y among friends under rational expectation. |
marg.effects |
the marginal effects. |
iteration |
number of iterations performed by sub-network in the Fixed Point Iteration Method. |
Xu, X., & Lee, L. F. (2015). Maximum likelihood estimation of a spatial autoregressive Tobit model. Journal of Econometrics, 188(1), 264-280, \Sexpr[results=rd]{tools:::Rd_expr_doi("10.1016/j.jeconom.2015.05.004")}.
sart
, simsar
, simcdnet
.
# Groups' size
M <- 5 # Number of sub-groups
nvec <- round(runif(M, 100, 1000))
n <- sum(nvec)
# Parameters
lambda <- 0.4
beta <- c(2, -1.9, 0.8)
gamma <- c(1.5, -1.2)
sigma <- 1.5
theta <- c(lambda, beta, gamma, sigma)
# X
X <- cbind(rnorm(n, 1, 1), rexp(n, 0.4))
# Network
Glist <- list()
for (m in 1:M) {
nm <- nvec[m]
Gm <- matrix(0, nm, nm)
max_d <- 30
for (i in 1:nm) {
tmp <- sample((1:nm)[-i], sample(0:max_d, 1))
Gm[i, tmp] <- 1
}
rs <- rowSums(Gm); rs[rs == 0] <- 1
Gm <- Gm/rs
Glist[[m]] <- Gm
}
# data
data <- data.frame(x1 = X[,1], x2 = X[,2])
rm(list = ls()[!(ls() %in% c("Glist", "data", "theta"))])
ytmp <- simsart(formula = ~ x1 + x2 | x1 + x2, Glist = Glist,
theta = theta, data = data)
y <- ytmp$y
# plot histogram
hist(y)
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