# R/ifconst.R In riv: Robust Instrumental Variables Estimator

#### Defines functions IFconst

# 6) Some constants needed for the IF of S-est (Lopuhaa, 1989, p.1672)
#
# r=dim of data for IF of S-est.
IFconst <- function(r, c) {
x.sample <- mvrnorm(10000, rep(0, r), diag(r))^2

# norms of multivariate normal random vectors, dim(x)=1000
x.norms <- sqrt(rowSums(x.sample))

# nu
fnu <- (1 - 1/r) * psi.bisquare(x.norms, c) +
(1/r) * psi.prime(x.norms, c)
nu <- mean(fnu)

# b0
b <- mean(rho.biweight(x.norms, c))

# gamma3
fg3 <- psi.bisquare(x.norms, c) * x.norms^2
g3 <- mean(fg3)

# gamma1
fg1 <- psi.prime(x.norms, c) * x.norms^2 +
(r + 1) * psi.bisquare(x.norms, c) * x.norms^2
g1 <- mean(fg1)/(r + 2)

# gamma 2
fg2 <- 2 * psi.prime(x.norms, c) * x.norms^2 +
r * psi.bisquare(x.norms, c) * x.norms^2
g2 <- mean(fg2)/(2 * r * (r + 2))

list(nu = nu, b0 = b, gamma1 = g1, gamma2 = g2, gamma3 = g3)
}

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riv documentation built on May 24, 2018, 9:04 a.m.