momentfit (version 1.0)

kclassfit: K-Class Estimation Method

Description

It estimates linearModel objects using the K-Class method. It includes LIML, Fuller, TSLS and OLS.

Usage

kclassfit(object, k, type = c("LIML", "Fuller", "BTSLS"), alpha = 1)
getK(object, alpha = 1, returnRes = FALSE)

Value

The function returns an object of class kclassfit.

Arguments

object

A model of class linearModel

k

The numeric value of k for the K-Class estimator. If missing, the value for LIML or Fuller is used.

type

Which value of k should we use to fit the model? Only used if k is missing.

alpha

A parameter for the Fuller method

returnRes

Should the function return the matrix of residuals from the first stage regression?

Details

Let the model be \(Y=X\beta+U\) and the matrix of instruments be \(Z\). The K-Class estimator is \((X'(I-kM_z)X)^{-1}(X'(I-kM_z)Y)\). The function getK can be used to compute the value of k for both LIML and Fuller. When type="BTSLS", the bias-adjusted TSLS of Nagar (1959) is computed.

Examples

data(simData)
theta <- c(beta0=1,beta1=2)
model1 <- momentModel(y~x1, ~z1+z2, data=simData)
kclassfit(model1, type="LIML")