h_to_beta: Find the coefficients given the active basis

In omkarakatta/ivqr: Instrumental Variables Quantile Regression

Find the coefficients given the active basis

Description

Given the active basis, find the coefficients that solve the IQR problem.

Usage

h_to_beta(h, Y, X, D, Z, Phi = linear_projection(D, X, Z))

Arguments

h	Active basis in terms of the data provided
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)
Phi	Transformation of X and Z to be used in the program; defaults to the linear projection of D on X and Z (matrix with n rows)

Value

A named list of coefficients

1. beta_D: coefficients on the endogeneous variables

2. beta_X: coefficients on the exogenous variables

3. beta_Phi: coefficients on the transformed instruments

See Also

Other mcmc_subsampling: foc_membership_v2(), foc_membership()

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