estimate_param: Estimation of moments of the data

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

Estimation of moments of the data

Description

NOTE (12 Apr 2022): probably superseded by estimate_param_null() function taken out of testing

Usage

estimate_param(robust2SLS_object, iteration)

Arguments

robust2SLS_object	An object of class "robust2sls" for which the moments will be calculated.
iteration	An integer >= 0 specifying based on which model iteration the moments should be estimated. The model iteration affects which observations are determined to be outliers and these observations will hence be excluded during the estimation of the moments.

Details

DO NOT USE YET! estimate_param can be used to estimate certain moments of the data that are required for calculating the asymptotic variance of the gauge. Such moments are the covariance between the standardised first stage errors and the structural error Ω, the covariance matrix of the first stage errors Σ, the first stage parameter matrix Π, and more.

Value

estimate_param returns a list with a similar structure as the output of the Monte Carlo functionality generate_param. Hence, the resulting list can be given to the function gauge_avar as argument parameters to return an estimate of the asymptotic variance of the gauge.

Warning

The function is not yet fully developed. The estimators of the moments are at the moment not guaranteed to be consistent for the population moments. DO NOT USE!

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