xweights

Auxiliary function. Computation of the leverage weights based on robust Mahalanobis distance.

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

xweights function

<dl> <dt>X</dt>
<dd>matrix of explanatory variables.</dd> <dt>weight</dt>
<dd>method used to calculated the weighting.</dd> <dt>clevel1</dt>
<dd>the critical level used for calculating the Mahalanobis distance.</dd></dl>

Arguments

Mikhail Zhelonkin, Andre Bik, Andrea Naghi

Author

Robustness Weights — xweights

<dl>

 <dt>X</dt>
<dd>matrix of explanatory variables.</dd>

 <dt>weight</dt>
<dd>method used to calculated the weighting.</dd>

 <dt>clevel1</dt>
<dd>the critical level used for calculating the Mahalanobis distance.</dd>

</dl>

xweights: Robustness Weights

Description

Usage

Value

Arguments

Author

See Also