beta_test_avar: Calculates the asymptotic variance of the difference between...

In robust2sls: Outlier Robust Two-Stage Least Squares Inference and Testing

Calculates the asymptotic variance of the difference between robust and full sample estimators of the structural parameters

Description

Calculates the asymptotic variance of the difference between robust and full sample estimators of the structural parameters

Usage

beta_test_avar(robust2sls_object, iteration, fp = FALSE)

Arguments

robust2sls_object	An object of class "robust2sls".
iteration	An integer > 0 specifying the iteration step for which parameters to calculate corrected standard errors.
fp	A logical value whether the fixed point asymptotic variance (TRUE) or the exact iteration asymptotic variance should be computed (FALSE).

Details

Argument fp determines whether the fixed point asymptotic variance should be computed. This argument is only respected if the specified iteration is one of the iterations after the algorithm converged.

Value

beta_test_avar returns a dx by dx variance-covariance matrix of the difference between the robust and full sample structural parameter estimates of the 2SLS model.

robust2sls documentation built on Jan. 11, 2023, 5:13 p.m.