XploRe Help : plmlorg

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:	plm
See also:	plmk plmp

Quantlet:		plmlorg
Description:		plmlorg estimates the parameter part in partially linear models by local polynomail to approximate the nonparametric part

Usage:	`res = plmlorg(x,t,y,h,{p})`
Input:
	`t`	n x 1 matrix, the design in [0, 1]
	`x`	n x m matrix, the design
	`y`	n x 1 matrix, the response
	`h`	m x 1 matrix or scalar, chosen bandwidth
Output:
	`res.hbeta`	m x 1 matrix, estimate of parameter

Example:

library("plm") n = 100 sig=0*matrix(3,3) sig[,1]=#(0.81,0.1,0.2) sig[,2]=#(0.1,2.25,0.1) sig[,3]=#(0.2,0.1,1) x =normal(n,3)*sig t =sort(uniform(n)) beta0=#(1.2, 1.3, 1.4) ; the true value y =x*beta0+t^3+0.01*normal(n) h =0.25 res=plmlorg(t,x,y, h,1) res.hbeta ; the estimate of beta ddp=createdisplay(1,1) datah1=t~t^3 datah2=t~res.hg part=grid(1,1,rows(t))' setmaskp(datah1,1,0,1) setmaskp(datah2,4,0,3) setmaskl(datah1,part,1,1,1) setmaskl(datah2,part,4,1,3) show(ddp,1,1,datah1,datah2) setgopt(ddp,1,1,"xlabel","T","title","Simulation comparison","ylabel","g(T) and its estimate values")

Result:

n/a

Author: H. Liang, W. Haerdle, 19980512 license MD*Tech