riv-package {riv} | R Documentation |
This package contains tools to find a robust instrumental variables estimator based on a high breakdown point S-estimator of location and covariance.
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.
Kaufmann B. beat.kaufmann@epfl.ch
Cohen-Freue G.V. gcohen@stat.ubc.ca
Zamar R.H. ruben@stat.ubc.ca
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.
## 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])