Description Usage Arguments Details Value Author(s) References
Computes a derivative of the inverse Mills ratio with respect to the parameter vector.
1 | dLambdadSM5(x, beta)
|
x |
vector of exogenous variables |
beta |
vector of parameters |
This function is necessary for computation of the asymptotic variance. In case of switching regressions the inverse Mills ratio term is different, and its derivative is computed in function dLambdadSM5
. It can also be used to compute the influence function of the two-stage estimator.
The gradient of the inverse Mills ratio is returned as a vector
Mikhail Zhelonkin, Marc G. Genton, Elvezio Ronchetti
Zhelonkin, M., Genton M.G., and Ronchetti, E. (2016) Robust Inference in Sample Selection Models. Journal of the Royal Statistical Society, Series B, 78, p. 805-827.
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