| Library: | eiv |
| See also: | eivknownatt eivknownvaru |
| Quantlet: | eivknownratue | |
| Description: | eivknownratue presents the moment estimates of the parameters in the measurement error models, which has only one variable x. The ratio of two variances of the two measurement errors is known. All of the variables obey normal distributions. |
| Usage: | {mux,beta1,beta0,sigmax,sigmau,sigmae,varbeta1,varbeta0} = eivknownratue(w,y,delta) | |
| Input: | ||
| w | n x 1 matrix, the design variables | |
| y | n x 1 matrix, the response | |
| delta | scalar, the ratio of the variance of two errors | |
| Output: | ||
| mux | scalar, the mean value of x | |
| beta1 | scalar, the estimate | |
| beta0 | scalar, the estimate | |
| sigmax | scalar, the estimate of the variance of x | |
| sigmau | scalar, the estimate of the variance of u | |
| sigmae | scalar, the estimate of the variance of e | |
| varbeta1 | scalar, the estimate of the variance of the estimate of beta1 | |
| varbeta0 | scalar, the estimate of the variance of the estimate of beta0 | |
library("eiv")
n = 100
randomize(n)
x=9*normal(n)
w=x+9*normal(n)
y=0.9+0.8*x+0.01*normal(n)
delta =0.0001/81 ; The ratio of var(u)/var(e)
gest=eivknownratue(w,y,delta)
gest.mux
gest.beta1
gest.beta0
gest.sigmax
gest.sigmau
gest.sigmae
gest.varbeta1
gest.varbeta0
Contents of mux [1,] -0.93396 Contents of beta1 [1,] 0.92042 Contents of beta0 [1,] 0.44547 Contents of sigmax [1,] 62.555 Contents of sigmau [1,] 82.616 Contents of sigmae [1,] 0.00010199 Contents of varbeta1 [1,] 0.011569 Contents of varbeta0 [1,] 0.71714