reg_als {callback}R Documentation

Asymptotic least squares estimation

Description

Asymptotic least squares estimation

Usage

reg_als(x, y, omega, ols = FALSE)

Arguments

x

the matrix of the right-hand variables (incl. the constant term when needed).

y

the vector of the left-hand variable.

omega

the covariance matrix of the disturbances.

ols

logical indicating whether to perform OLS (TRUE) or FGLS (FALSE). The default is FALSE.

Value

a list with class reg_als containing "config" for the definition of the estimation method and "reg" for the estimation output.

The "config" data frame includes the following elements:

The list "reg" includes the following elements (when relevant):

References

Chamberlain, G. (1982). Multivariate regression models for panel data. Journal of econometrics, 18(1), 5-46. Gourieroux, C., Monfort, A., & Trognon, A. (1985). Moindres carrés asymptotiques. Annales de l'INSEE, 91-122. Kodde, D. A., Plam, F. C., & Pfann, G. A. (1990). Asymptotic least‐squares estimation efficiency considerations and applications. Journal of Applied Econometrics, 5(3), 229-243.

Examples

model <- list(c("license"),c("woman"),c("woman","license","inter"))
comp <- callback_comp(mobility1,"offer",c("gender","licenses"),"callback",model)
    x <- comp$aux_boole
    y <- comp$aux_coef
omega <- comp$aux_vcov
 
str(reg_als(x,y,omega))


[Package callback version 0.1.3 Index]