Nothing
ginv <- function(x, tol = sqrt(.Machine$double.eps))
{
## Generalized Inverse of a Matrix
dnx <- dimnames(x)
if(is.null(dnx)) dnx <- vector("list", 2)
s <- svd(x)
nz <- s$d > tol * s$d[1]
structure(
if(any(nz)) s$v[, nz] %*% (t(s$u[, nz])/s$d[nz]) else x,
dimnames = dnx[2:1])
}
#' Instrumental least square dummy variable
#'
#' @author Zaghdoudi Taha
#' @param y vector of dependent variable
#' @param x matrix of independents variables
#' @param n number of sections
#' @param t times per section
#' @return Coefficients a named vector of coefficients
#' @return vcov covariance matrix of coefficients
#' @return df the degree of freedom
#' @examples
#' pib<-as.matrix(c(12,3,4,0.4,0.7,5,0.7,0.3,0.6,89,7,8,45,7,4,5,0.5,5),nrows=18,ncols=1)
#' tir<-as.matrix(c(12,0.3,4,0.4,7,12,3.0,6.0,45,7.0,0.8,44,65,23,4,6,76,9),nrows=18,ncols=1)
#' inf<-as.matrix(c(1.2,3.6,44,1.4,0.78,54,0.34,0.66,12,0.7,8.0,12,65,43,5,76,65,8),nrows=18,ncols=1)
#' npl<-as.matrix(c(0.2,3.8,14,2.4,1.7,43,0.2,0.5,23,7.8,88,36,65,3,44,65,7,34),nrows=18,ncols=1)
#' # create data frame
#' mdata<-data.frame(p=pib,ti=tir,int=inf,np=npl)
#' # create the designed matrix for the model
#' d<-matrix(c(mdata$p,mdata$int,mdata$np),18, 3)
#' # Fit an Instrumental least square dummy variable model
#' ls<-lsdv(mdata$p,d,n=6,t=3)
#' ls
ivfixed<-function(y,x,h,n,t){
x<-x
y<-y
h<-h
t<-t
n<-n
N<-n*t
k<-ncol(x)
df<-nrow(x)-ncol(x)
ones<-matrix(1,t,t)
jbar<-ones/t
E<-diag(t)-jbar
P<-kronecker(diag(n),jbar)
Q<-diag(N)-P
xfe<-Q%*%x
yfe<-Q%*%y
hfe<-Q%*%h
txfe<-crossprod(xfe,xfe)
tyfe<-crossprod(xfe,yfe)
thfe<-crossprod(hfe,hfe)
txhfe<-crossprod(hfe,xfe)
xfehat<-hfe%*%ginv(thfe)%*%txhfe
beta<-ginv(crossprod(xfehat,xfe))%*%crossprod(xfehat,yfe)
ieffect<-P%*%(y-x%*%beta)
yhat<-x%*%beta+ieffect
res<-y-yhat
resvar<-sum(res^2)/(n*t-k-n+1)
varcoef<-resvar*ginv(crossprod(xfehat,xfe))
scr<-sum(res^2)
sct<-crossprod(yfe,yfe)
rsq<-1-scr/sct
list(coefficients=beta,vcov=varcoef,Rsq=rsq,df=df)
}
#' method
#'
#' @author Zaghdoudi Taha
#' @param x a numeric design matrix for the model.
#' @param ... not used
#' @export
ivFixed <- function(x,...){UseMethod("ivFixed") }
ivFixed.default <- function(y,x,h,n,t,...)
{
t<-t
n<-n
x<-as.matrix(x)
h<-as.matrix(h)
y<-as.numeric(y)
est <- ivfixed(y,x,h,n,t)
est$fitted.values <- as.vector(x %*% est$coefficients)
est$residuals <- y - est$fitted.values
est$call <- match.call()
class(est) <- "ivFixed"
est
}
print.ivFixed <- function(x,...)
{
cat("Call:\n")
print(x$call)
cat("\nCoefficients:\n")
print(x$coefficients)
}
#' Summary
#'
#' @param object is the object of the function
#' @param ... not used
#' @export
summary.ivFixed<-function(object,...)
{
se <- sqrt(diag(object$vcov))
tval <-coef(object)/se
Rsqu<-object$Rsq
TAB <- cbind(Estimate = coef(object),StdErr = se, t.value = tval, p.value = 2*pt(-abs(tval), df=object$df))
colnames(TAB) <- c("Estimate", "Std.Err", "T value", "Pr(>z)")
res <- list(call=object$call,
coefficients=TAB)
res
}
#' formula
#'
#' @param formula PIB~INF+TIR|Cap+m2r
#' @param data the dataframe
#' @param n the number of section
#' @param t the time per section
#' @param ... not used
#' @import Formula
#' @export
ivFixed.formula <-function(formula,data=list(),n,t,...)
{
t<-t
n<-n
mf <- match.call(expand.dots = FALSE)
m <- match(c("formula", "data", "subset", "na.action"), names(mf), 0)
mf <- mf[c(1, m)]
f <- Formula(formula)
mf[[1]] <- as.name("model.frame")
mf$formula <- f
mf <- eval(mf, parent.frame())
x <- model.matrix(f, data = mf, rhs = 1)
h <- model.matrix(f, data = mf, rhs = 2)
y <- model.response(mf)
est <- ivFixed.default(y,x,h,n,t,...)
est$call <- match.call()
est$formula <- formula
est
}
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