MmatrM: M Matrix

In ssmrob: Robust Estimation and Inference in Sample Selection Models

Description

M matrix of a linear regression M-estimator of Mallows type.

Usage

MmatrM(x, y, beta, sigma, t.c = 1.345, weights = 1)

Arguments

x	matrix of explanatory variables
y	vector of dependent variables
beta	vector of parameters
sigma	robust scale estimate
t.c	tuning constant c for Huber's psi-function
weights	vector of robustness weights controlling for the leverage effects

Details

Computes the M matrix of the M-estimator of Mallows type. In current implementation only the Huber score function is available.

Value

M matrix for the sandwich formula.

Author(s)

Mikhail Zhelonkin, Marc G. Genton, Elvezio Ronchetti

ssmrob documentation built on Aug. 20, 2021, 5:08 p.m.