Nothing
## ---- echo = FALSE, message = FALSE, warning=FALSE----------------------------
library(geex)
library(knitr)
opts_knit$set(progress = TRUE, verbose = TRUE)
## ----SB1_estfun, echo=TRUE, results='hide'------------------------------------
SB1_estfun <- function(data){
Y1 <- data$Y1
function(theta){
c(Y1 - theta[1],
(Y1 - theta[1])^2 - theta[2])
}
}
## ----SB1_run, echo=TRUE, eval=TRUE, message=FALSE-----------------------------
library(geex)
results <- m_estimate(
estFUN = SB1_estfun,
data = geexex,
root_control = setup_root_control(start = c(1,1)))
## ----SB1_clsform, echo=TRUE, eval = TRUE--------------------------------------
n <- nrow(geexex)
A <- diag(1, nrow = 2)
B <- with(geexex, {
Ybar <- mean(Y1)
B11 <- mean( (Y1 - Ybar)^2 )
B12 <- mean( (Y1 - Ybar) * ((Y1 - Ybar)^2 - B11) )
B22 <- mean( ((Y1 - Ybar)^2 - B11)^2 )
matrix(
c(B11, B12,
B12, B22), nrow = 2
)
})
# closed form roots
theta_cls <- c(mean(geexex$Y1),
# since var() divides by n - 1, not n
var(geexex$Y1) * (n - 1)/ n )
# closed form sigma
Sigma_cls <- (solve(A) %*% B %*% t(solve(A))) / n
comparison <- list(geex = list(estimates = coef(results), vcov = vcov(results)),
cls = list(estimates = theta_cls, vcov = Sigma_cls))
## ----SB1_results, echo = FALSE------------------------------------------------
comparison
## ----SB2_eefun, echo = TRUE---------------------------------------------------
SB2_estfun <- function(data){
Y1 <- data$Y1; Y2 <- data$Y2
function(theta){
c(Y1 - theta[1],
Y2 - theta[2],
theta[1] - (theta[3] * theta[2])
)
}
}
## ----SB2_run, echo = TRUE, message = FALSE------------------------------------
results <- m_estimate(
estFUN = SB2_estfun,
data = geexex,
root_control = setup_root_control(start = c(1, 1, 1)))
## ----SB2_clsform, echo = TRUE-------------------------------------------------
# Comparison to an analytically derived sanwich estimator
A <- with(geexex, {
matrix(
c(1 , 0, 0,
0 , 1, 0,
-1, mean(Y1)/mean(Y2), mean(Y2)),
byrow = TRUE, nrow = 3)
})
B <- with(geexex, {
matrix(
c(var(Y1) , cov(Y1, Y2), 0,
cov(Y1, Y2), var(Y2) , 0,
0, 0, 0),
byrow = TRUE, nrow = 3)
})
## closed form roots
theta_cls <- c(mean(geexex$Y1), mean(geexex$Y2))
theta_cls[3] <- theta_cls[1]/theta_cls[2]
## closed form covariance
Sigma_cls <- (solve(A) %*% B %*% t(solve(A))) / nrow(geexex)
comparison <- list(geex = list(estimates = coef(results), vcov = vcov(results)),
cls = list(estimates = theta_cls, vcov = Sigma_cls))
## ----SB2_results, echo = TRUE-------------------------------------------------
comparison
## ----SB3_eefun, echo = TRUE, warning = FALSE, message=FALSE-------------------
SB3_estfun <- function(data){
Y1 <- data$Y1
function(theta){
c(Y1 - theta[1],
(Y1 - theta[1])^2 - theta[2],
sqrt(theta[2]) - theta[3],
log(theta[2]) - theta[4])
}
}
## ----SB3_run, echo = FALSE, message=FALSE-------------------------------------
results <- m_estimate(
estFUN= SB3_estfun,
data = geexex,
root_control = setup_root_control(start = rep(2, 4, 4, 4)))
## ----SB3_clsform, echo = TRUE-------------------------------------------------
## closed form roots
theta_cls <- numeric(4)
theta_cls[1] <- mean(geexex$Y1)
theta_cls[2] <- sum((geexex$Y1 - theta_cls[1])^2)/nrow(geexex)
theta_cls[3] <- sqrt(theta_cls[2])
theta_cls[4] <- log(theta_cls[2])
## Compare to closed form ##
theta2 <- theta_cls[2]
mu3 <- moments::moment(geexex$Y1, order = 3, central = TRUE)
mu4 <- moments::moment(geexex$Y1, order = 4, central = TRUE)
## closed form covariance
Sigma_cls <- matrix(
c(theta2, mu3, mu3/(2*sqrt(theta2)), mu3/theta2,
mu3, mu4 - theta2^2, (mu4 - theta2^2)/(2*sqrt(theta2)), (mu4 - theta2^2)/theta2,
mu3/(2 * sqrt(theta2)), (mu4 - theta2^2)/(2*sqrt(theta2)), (mu4 - theta2^2)/(4*theta2), (mu4 - theta2^2)/(2*theta2^(3/2)),
mu3/theta2, (mu4 - theta2^2)/theta2, (mu4 - theta2^2)/(2*theta2^(3/2)), (mu4/theta2^2) - 1) ,
nrow = 4, byrow = TRUE) / nrow(geexex)
## closed form covariance
# Sigma_cls <- (solve(A) %*% B %*% t(solve(A))) / n
comparison <- list(geex = list(estimates = coef(results), vcov = vcov(results)),
cls = list(estimates = theta_cls, vcov = Sigma_cls))
## ----SB3_results, echo = FALSE------------------------------------------------
comparison
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