Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: metrics
See also: adeind adeslp

Quantlet: dwade
Description: dwade estimation of the density weighted average derivatives

Reference(s):

Usage: d = dwade(x,y,h)
Input:
x n x d matrix , the observed explanatory variable
y n x 1 matrix , the observed response variable
h d x 1 or 1 x 1 matrix , chosen bandwidth
Output:
d d x 1 matrix, the density weighted average derivative estimator

Example:
library("metrics")
randomize(0)
n   = 100
x   = normal(n,3)
z   = 0.2*x[,1] - 0.7*x[,2] + x[,3]
eps = normal(n,1) * sqrt(0.5)
y   = 2 * z^3 + eps
h   = 0.3
d   = dwade(x,y,h)
d

Result:
the density weighted average derivative estimator of
Powell, Stock and Stoker, Econometrica (1989)



Author: S. Sperlich. W. Stockmeyer, W. Haerdle, 19951111 license MD*Tech
(C) MD*TECH Method and Data Technologies, 05.02.2006