README.md

In danielwilhelm/R-ME-test: Tools for inference in measurement error models

METests

The R package METests implements tests for various hypotheses about measurement error as proposed in Wilhelm (2019). The R package contains help files describing the various commands, their syntax and gives examples.

Installation

Install the package devtools if it isn't already:

install.packages("devtools")

Load the package devtools:

library("devtools")

Install the package METests:

install_github("danielwilhelm/R-ME-test")

Example

Here is an example of how to test the null hypothesis that there is no measurement error in an explanatory variable X, using a second measurement Z and an outcome Y that depends on the true explanatory variable:

rm(list = ls(all = TRUE))
set.seed(1090)
library(METests)

# generate true explanatory variable
Xstar <- runif(100)

# generate repeated measurements X and Z
X <- Xstar + rnorm(100, 0, 0.3)
Z <- Xstar + rnorm(100, 0, 0.3)

# generate outcome
Y <- Xstar^2+Xstar/2 + rnorm(100, 0, 0.5)   

# perform the test for measurement error using cross-validated bandwidth
DMTest(Y, X, Z)

Reference

Wilhelm, D. (2019), "Testing for the Presence of Measurement Error", CeMMAP Working Paper CWP48/19

danielwilhelm/R-ME-test documentation built on June 21, 2022, 6:50 p.m.