rob.control

Auxiliary function used for fitting the endogenous probit models. Contains control sequences, tuning constants and robustness weight functions.

 Tuning constant 

 Robust weights 

Package provides a set of tools for robust estimation and inference for probit model with endogenous covariates. The current version contains a robust two-step estimator. For technical details, see Naghi, Varadi and Zhelonkin (2022), <doi:10.1016/j.ecosta.2022.05.001>.

Mikhail Zhelonkin

epmrob

Robust Estimation of Probit Models with Endogeneity

Andre Bik

Andrea Naghi

rob.control function

<dl> <dt>acc</dt>
<dd>positive convergence level.</dd> <dt>maxit</dt>
<dd>integer giving the maximum number of iterations.</dd> <dt>weights.x1</dt>
<dd>vector of robustness weights controlling for the leverage effect in the reduced equation.</dd> <dt>weights.x2</dt>
<dd>vector of robustness weights controlling for the leverage effect in the outcome equation.</dd> <dt>clevel1</dt>
<dd>value for the critical level for the first stage.</dd> <dt>tcc</dt>
<dd>tuning constant c for Huber's psi-function for the first, reduced, stage.</dd></dl>

Arguments

Mikhail Zhelonkin, Andre Bik, Andrea Naghi

Author

Auxiliary for Controlling Robust Fitting — rob.control

<dl>

 <dt>acc</dt>
<dd>positive convergence level.</dd>

 <dt>maxit</dt>
<dd>integer giving the maximum number of iterations.</dd>

 <dt>weights.x1</dt>
<dd>vector of robustness weights controlling for the leverage effect in the reduced equation.</dd>

 <dt>weights.x2</dt>
<dd>vector of robustness weights controlling for the leverage effect in the outcome equation.</dd>

 <dt>clevel1</dt>
<dd>value for the critical level for the first stage.</dd>

 <dt>tcc</dt>
<dd>tuning constant c for Huber's psi-function for the first, reduced, stage.</dd>

</dl>

rob.control: Auxiliary for Controlling Robust Fitting

Description

Usage

Value

Arguments

Author