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 wtsder trimper dwade

Quantlet: newadeslp
Description: slope estimation of average derivatives

Reference(s):

Usage: {delta,delta1,dvar} = newadeslp(x,y,h)
Input:
x n x p matrix , the observed explanatory variable
y n x 1 matrix , the observed response variable
h p x 1 vector or scalar , the bandwidth to be used during estimation of the scores
Output:
delta p x 1 vector , the indirect slope estimate
delta1 p x 1 vector , the indirect ADE
dvar p x p matrix , the estimated asymptotic covariance of delta1

Example:
library("metrics")
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   = 5
{delta,delta1,dvar} = newadeslp(x,y,h)
delta
delta1
dvar

Result:
the slope estimator for average derivatives and its
asymptotic covariance matrix  as described by
Stoker in Barnett, Powell, Tauchen, "Nonparametric and
Semiparametric Methods in Econometrics and Statistics"
(1991)          and Turlach, Discussion Paper (1993)



Author: R. Brau, S. Sperlich 20000119
(C) MD*TECH Method and Data Technologies, 05.02.2006