reg_cdir2: Cross-sectional dependence in regression

In estsyawo/RpacSPD: Spatial Panel Data models

Description

A routine like reg_cd() that partially optimises with respect δ and uses internal R routines to optimise with respect to β. This is particularly helpful in high dimensional settings.

Usage

reg_cdir2(startdel, Y, X, Xm, ..., modclass = "lmcd", rvcov = FALSE)

Arguments

startdel	vector of starting values for δ
Y	outcome variable
X	matrix of covariates or design matrix
Xm	matrix of other control variables
...	other arguments to be passed to ncd_gen2 except arguments listed here and rval. Argument names must match exactly.
modclass	the class of model. See description above for classes supported.
rvcov	Logical. Should the variance-covariance matrix be returned?

Value

A list

• coefs vector of coefficients

• stde vector of standard errors

• tstat vector of t-statistics

• pval vector of p-values

• varcov variance-covariance matrix if rvcov is set to TRUE

• Wstat a Wald chi-square statistic

• pvwald Prob>Wstat

See Also

ncd_gen, reg_cd

Examples

pars = c(1.0,0.5,0.8); pars2=pars = c(1.0,0.5,0.8,0.1,-0.1); N = 10; Tp = 16 
fnp<- function(x,y,k) {-(0.5*y^4 + (x-y)^4)^.25} # a dummy k
datpois = gdat_cd(pars=pars,N=N,Tp=Tp,seed=2,fun=fnp,eta = 200,modclass="poiscd") 
datpois2 = gdat_cd(pars=pars2,N=N,Tp=Tp,ncXm=2,seed=2,fun=fnp,eta = 200,modclass="poiscd")
k=1; lp=k*(k+1)/2; startp = rep(0.2,lp); # fun() is known
wfn = function(i,j,t,del){ Xi=datpois$X; xit1 = datpois$X[((i-1)*Tp + t-1)]; 
xjt1 = datpois$X[((j-1)*Tp + t-1)]; return(exp(sum(c(fnp(xit1,xjt1,k)*del))))} #weight function
zg1=RpacSPD::reg_cdir2(startdel=startp,Y=datpois$Y,X=datpois$X,Xm=NULL,Tid=datpois$tpID,
Pid=datpois$psID,wfun=wfn,k=k,nt=lp,utid=c(2:Tp),modclass="poiscd",rvcov=TRUE) #return function value
BIC(zg1) #compute BIC of fitted model

k=4; lp=k*(k+1)/2; startp = rep(0.1,lp); # fun() is polynomial approximated
wfnp = function(i,j,t,del){ Xi=datpois$X; xit1 = datpois$X[((i-1)*Tp + t-1)]; 
xjt1 = datpois$X[((j-1)*Tp + t-1)]; return(exp(sum(c(polyexp(xit1,xjt1,k)*del))))} #weight function
wfnp(3,2,7,startp) #illustration
startp = rep(0.0,lp)
zg4=RpacSPD::reg_cdir2(startdel=startp,Y=datpois2$Y,X=datpois2$X,Xm=datpois2[c("X1","X2")],
Tid=datpois2$tpID,Pid=datpois2$psID,wfun=wfnp,k=k,nt=lp,utid=c(2:Tp),
modclass="poiscd",rvcov=TRUE)
BIC(zg4) #compute BIC of fitted model

estsyawo/RpacSPD documentation built on Aug. 12, 2019, 5:22 a.m.