estfun.DE: estfun method for class 'DE'

In Disequilibrium: Disequilibrium Models

Description

estfun method for class 'DE'

Usage

estfun.DE(x, ...)

Arguments

x	An object of class DE.
...	Unused

Value

A N x (k[1] + k[2] + 3) if rho is not masked (otherwise N x (k[1] + k[2] + 2)) matrix of the gradient is returned.

Examples

set.seed(1775)
library(MASS)
beta01 = c(1,1)
beta02 = c(-1,-1)
N = 10000
SigmaEps = diag(2)
SigmaX = diag(2)
MuX = c(0,0)
par0 = c(beta01, beta02, SigmaX[1, 1], SigmaX[1, 2], SigmaX[2, 2])

Xgen = mvrnorm(N,MuX,SigmaX)
X1 = cbind(1,Xgen[,1])
X2 = cbind(1,Xgen[,2])
X = list(X1 = X1,X2 = X2)
eps = mvrnorm(N,c(0,0),SigmaEps)
eps1 = eps[,1]
eps2 = eps[,2]
Y1 = X1 %*% beta01 + eps1
Y2 = X2 %*% beta02 + eps2
Y = pmin(Y1,Y2)
df = data.frame(Y = Y, X1 = Xgen[,1], X2 = Xgen[,2])

results = DE(formula = Y ~ X1 | X2, data = df)

head(sandwich::estfun(results))

Disequilibrium documentation built on July 2, 2020, 3:27 a.m.