cragg_errs1: Resample only linear errors for truncated normal errors

In jackiemauro/hurdleIV:

Description

The truncated multivariate normal errors can be generated in one of two ways. Either we sample the first stage and probit errors first and then resample the linear regression's errors until we have positive values, or we resample the vector of all three errors until the linear value is positive. This is the first method, use cragg_errors2 for the second, which is more intuitive.

Usage

cragg_errs1(cov, pi, x1, gamma, beta, n, z)

Arguments

cov	the covariance matrix. This should be untransformed, the terms will be multiplied by the coefficients within the resampling procedure.
pi	a vector of coefficients for the first stage regression
x1	your exogenous variables (a dataframe)
gamma	a vector of coefficients for the second stage probit
beta	a vector of coefficients for the second stage linear regression
n	the number of errors to be generated
z	your instrument (a dataframe)

Value

returns a list of your errors and the three generated variables: the endogenous regressor, the censoring variable and the outcome variable

jackiemauro/hurdleIV documentation built on May 18, 2019, 7:56 a.m.