estimate_param_null can be used to estimate certain moments of the
data that are required for calculating the asymptotic variance of the gauge.
Such moments are the covariance between the standardised first stage errors
and the structural error \(\Omega\), the covariance matrix of the first
stage errors \(\Sigma\), the first stage parameter matrix \(\Pi\), and
more.
estimate_param_null(robust2SLS_object)estimate_param_null returns a list with a similar structure as
the output of the Monte Carlo functionality generate_param. Hence, the
resulting list can be given to the function gauge_avar as argument
parameters to return an estimate of the asymptotic variance of the
gauge.
An object of class "robust2sls" for which
the moments will be calculated.
The function uses the full sample to estimate the moments. Therefore, they are only consistent under the null hypothesis of no outliers and estimators are likely to be inconsistent under the alternative.