Displaying 1 result from an estimated 1 matches for "numdeltamethod".
2011 Feb 15
0
Delta method using numerical derivatives
...h.hi[i]
lo[i] <- x[i] - h.lo[i]
if (ny==1L)
df[i] <- (func(hi, ...) - func(lo, ...))/twoeps[i]
else df[i,] <- (func(hi, ...) - func(lo, ...))/twoeps[i]
}
return(df)
}
## fun: takes coef as its first argument
## requires: coef() and vcov() on the object
numDeltaMethod <- function(object,fun,...) {
coef <- coef(object)
est <- fun(coef,...)
Sigma <- vcov(object)
gd <- grad(fun,coef,...)
se.est <- as.vector(sqrt(diag(t(gd) %*% Sigma %*% gd)))
data.frame(Estimate = est, SE = se.est)
}
predictnl <- function (object, ...)
UseMethod(...