bound_next_moment: Bounds the (Tobsd + 1)-th moment given the first Tobsd...

In cgaillac/MarginalFElogit: Estimation of Average Marginal Effects in Fixed Effect Logit Models

Bounds the (Tobsd + 1)-th moment given the first Tobsd moments, m. We first check that the input moment of vectors is valid, and if necessary replace it by the vector on the boundary of the set of admissible vectors of moment (see DDL paper).

Description

Bounds the (Tobsd + 1)-th moment given the first Tobsd moments, m. We first check that the input moment of vectors is valid, and if necessary replace it by the vector on the boundary of the set of admissible vectors of moment (see DDL paper).

Usage

bound_next_moment(
  m,
  asymptotic_variance_matrix_m = NULL,
  thresholdDeterminant = 0
)

Arguments

m	is the estimated vector of moments. NAs at the end is ignored.
asymptotic_variance_matrix_m	(default NULL) is the estimated variance matrix for the vector of moments m. If NULL, the moment vector is assumed to be known with perfect accuracy (no noise).
thresholdDeterminant	(default 0). The threshold used to decide whether the determinant of the Hankel matrices is null. If the estimated determinant is less than that threshold, it is considered null (so the moment vector is on the boundary). Setting the threshold as a small positive value is meant to account for the noise on the moment vector, e.g. to ensure moment vectors on the boundary are rejected exactly 95% of the time.

Value

a list containing: - lowerBound: the lower bound on the (Tobsd + 1)-th moment - upperBound: the upper bound on the (Tobsd + 1)-th moment

cgaillac/MarginalFElogit documentation built on Dec. 24, 2024, 3:23 p.m.