erfeVecR: Dexpectilize a vector according the a single asymmetric point

In erfe: Fits Expectile Regression for Panel Fixed Effect Model

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 τ \in (0, 1). When τ=0.5 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, [e-mail]

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)

erfe documentation built on Dec. 16, 2022, 5:15 p.m.