init_est_b: Initial estimation of the distributional parameters of beta_i

In zhan-gao/ccrm: Package for estimation of categorical coefficient regression models (Gao and Pesaran, 2023).

Initial estimation of the distributional parameters of \beta_i

Description

Initial estimation of the distributional parameters of \beta_i

Usage

init_est_b(
  x,
  y,
  z = NULL,
  s_max = 4,
  remove_intercept = TRUE,
  iter_gmm = TRUE,
  gmm_res = NULL,
  seed = 2023
)

Arguments

x	regressor (N-by-1)
y	dependent variable (N-by-p_x)
z	control variables (N-by-p_z)
s_max	Maximum order of moments used in estimation
remove_intercept	whether subtract estimated intercept term in calculation of y_tilde
iter_gmm	Whether to use iterative GMM (If FALSE, use OW-GMM with initial estimates)
gmm_res	GMM estimation results from moment_est_gmm()
seed	seed for random number generator to control the randomly generated result

Value

A list contains

theta_hat	estimated (pi, b_L, b_H) based on least squares optimization
sol_status	whether estimated var(\beta_i) > 0 and we can solve for (pi, b_L, b_H)
moment_gmm_res	A list contains the results of GMM moment estimation

zhan-gao/ccrm documentation built on Oct. 22, 2023, 3:24 p.m.