RCTS (version 0.2.4)

calculate_error_term: Calculates the error term Y - X*beta_est - LF - LgFg.

Description

Calculates the error term Y - X*beta_est - LF - LgFg.

Usage

calculate_error_term(
  Y,
  X,
  beta_est,
  g,
  factor_group,
  lambda_group,
  comfactor,
  lambda,
  S,
  k,
  kg,
  method_estimate_beta = "individual",
  no_common_factorstructure = FALSE,
  no_group_factorstructure = FALSE
)

Value

NxT matrix

Arguments

Y

Y: NxT dataframe with the panel data of interest

X

X: NxTxp array containing the observable variables

beta_est

estimated values of beta

g

Vector with estimated group membership for all individuals

factor_group

estimated group specific factors

lambda_group

loadings of the estimated group specific factors

comfactor

estimated common factors

lambda

loadings of the estimated common factors

S

number of estimated groups

k

number of common factors to be estimated

kg

number of group specific factors to be estimated

method_estimate_beta

defines how beta is estimated. Default case is an estimated beta for each individual. Default value is "individual." Possible values are "homogeneous", "group" or "individual".

no_common_factorstructure

if there is a common factorstructure being estimated

no_group_factorstructure

if there is a group factorstructure being estimated

Examples

X <- X_dgp3
Y <- Y_dgp3
# Set estimations for group factors and its loadings, and group membership
#  to the true value for this example.
lambda_group <- lambda_group_true_dgp3
factor_group <- factor_group_true_dgp3
g <- g_true_dgp3
set.seed(1)
beta_est <- matrix(rnorm(nrow(Y) * 4), ncol = nrow(Y)) #random values for beta
comfactor <- matrix(0, ncol = ncol(Y))
lambda  <- matrix(0, ncol = nrow(Y))
calculate_error_term(Y, X, beta_est, g, factor_group, lambda_group, comfactor, lambda,
  3, 0, c(3, 3, 3))