Compute the Gn matrix in step 3b of Bei (2024).
G.hat(
data,
beta,
t,
hp,
mi.mat = NULL,
m.avg = NULL,
dm.avg = NULL,
dmi.tens = NULL,
D = NULL
)
A matrix containing the partial derivatives of the variances of the moment functions. Each row corresponds to a moment function, each column corresponds to a covariate.
Data frame.
Vector of coefficients.
Time point at which to evaluate the (derivatives of) the moment functions.
List of hyperparamerers.
A precomputed matrix of moment function evaluations at each
observation. If supplied, some computations can be skipped. Default is
mi.mat = NULL
.
A precomputed vector of the sample average of the moment
functions. If not supplied, this vector is computed. Default is
m.avg = NULL
.
Matrix of precomputed sample averages of the derivatives of the
moment functions. Default is dm.avg = NULL
.
3D tensor of precomputed evaluations of the derivatives of
the moment functions. Default is dmi.tens = NULL
.
Diagonal of D-matrix.
Bei, X. (2024). Local linearieation based subvector inference in moment inequality models. Journal of Econometrics. 238:105549-