riv-package {riv}R Documentation

Robust instrumental variables estimator package.

Description

This package contains tools to find a robust instrumental variables estimator based on a high breakdown point S-estimator of location and covariance.

Details

Package: riv
Type: Package
Version: 1.0
Date: 2006-02-16
License: GLP

slc(x, nsamp = 500, bdp = 0.5):

finds a high breakdown point S-estimator of multivariate location and covariance.

riv(Y,Xex=FALSE,Xend,W,intercept=TRUE,method=c("robust","classical"),nsamp=500,bdp=.5,approx=1000):

finds a robust instrumental variables estimator using a high breakdown point S-estimator of location and covariance.

Author(s)

Kaufmann B. beat.kaufmann@epfl.ch

Cohen-Freue G.V. gcohen@stat.ubc.ca

Zamar R.H. ruben@stat.ubc.ca

References

LOPUHAÄ,H.P. (1989). On the Relation between S-estimators and M-estimators of Multivariate Location and Covariance. Ann. Statist. 17 1662-1683.

COHEN-FREUE,G.V. and ZAMAR,R.H. (2005). A Robust Instrumental Variables Estimator.

Examples

## simulation of a multivariate data-set
library(MASS)
x <- mvrnorm(100,c(0,0,0),matrix(c(1,0,0,0,1,0.5,0,0.5,1),ncol=3))

slc(x,nsamp=50,bdp=0.15)

## load data earthquake: the first column is the response Y, the second the endogenous variable X 
## and the third column is the instrument W.
data(earthquake)
riv(earthquake[,1],FALSE,earthquake[,2],earthquake[,3]) 

[Package riv version 1.0-0 Index]