get_iqr_objective: Get value of IQR objective given coefficients on endogeneous...

In omkarakatta/ivqr: Instrumental Variables Quantile Regression

Get value of IQR objective given coefficients on endogeneous variable

Description

Obtain the sum of the absolute value of the coefficients on the instruments in a quantile regression of Y after concentrating out D according to beta_D on Z and X.

Usage

get_iqr_objective(beta_D, Y, X, D, Z, tau, ...)

Arguments

beta_D	Vector of coefficients on the endogenous variable (numeric vector)
Y	Dependent variable (vector of length n)
X	Exogenous variable (including constant vector) (n by p_X matrix)
D	Endogenous variable (n by p_D matrix)
Z	Instrumental variable (n by p_Z matrix)
tau	Quantile of interest (numeric between 0 and 1)
...	Arguments to be passed to quantreg::rq()

Value

A named list of two entries:

1. beta_Z: named vector of coefficients on the instruments

2. tau: quantile of interest

3. obj: sum of absolute value of beta_Z, i.e., value of IQR objective

omkarakatta/ivqr documentation built on Aug. 20, 2022, 11:04 p.m.