Method of Simulated Moments

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Description

Function to produce averaged estimates of multiple runs of method of simulated moments.

Usage

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msm(family = "binomial", nsim = 1, num_MC_sims = 10000, num_subs = NULL, obs_per_sub = NULL, y.i = NULL, 
start = c(0, 1), message = TRUE, true.mu = NULL, true.sigma = NULL, method = "nleqslv")

Arguments

family

Exponential family to draw from; currently only accepts "binomial" or "poisson"

nsim

Number of simulations of MSM estimates; default is 1

num_MC_sims

Number of values used to produce one Monte Carlo estimate for MSM; default is 10000

num_subs

Index of i (number of subjects); default is NULL

obs_per_sub

Vector of length num_subs; Index of j (number of observations per subject); default is NULL

y.i

Sums over j of the y_ij, produced by simulate.fun or provided by user; default is NULL

start

Vector of starting values for (mu,sigma); default values are (0,1)

message

Logical; allows user to display message regarding standard error calculations

true.mu

True value of mu; default is NULL

true.sigma

True value of sigma; default is NULL

method

One of ("multiroot","optim","nleqslv"); default is multiroot. This determines the solver utilized within the MSM. If multiroot is selected, the function will use the multirootrootSolve function. If optim is selected, the function will use the optimbase function to minimize the Euclidean norm of the system. If nleqslv is chosen, nleqslvnleqslv will solve the system of equations using the Newton method.

Value

mu

Averages nsim estimates of mu

mu.se

Averages nsim estimates of root mean squared error mu

sigma

Averages nsim estimates of sigma

sigma.se

Averages nsim estimates of root mean squared error sigma

sigma2

Averages nsim estimates of sigma2 based on squaring the estimate of sigma

sigma2.se

Averages nsim estimates of root mean squared error sigma2

Author(s)

Lindsey Dietz

References

Jiang, J. (1998). Consistent Estimators in Generalized Linear Mixed Models. Journal of the American Statistical Association, 93, 720–729.

Jiang, J. and Zhang, W. (2001). Robust estimation in generalized linear mixed models. Biometrika, 88, 753–765.

See Also

optim multiroot nleqslv