search for: spady

Dear all, I am trying to use the np package for the estimation of a model with Klein and Spady's semiparametric estimator. When though, I include a constant term ( a column with 1s in X) then the following message appear: Multistart 1 of 3...Error in optim(c(beta, h), fn = optim.fn, gr = NULL, method = optim.method, : non-finite value supplied by optim So, how can I include a con...

Dear all, I would like to estimate the standard errors of Klein and Spady's estimator for that I am using: library(np) N<-100 X<-matrix(c(rnorm(N,1,1), rnorm(N,0,1)), ncol=2) BETA <-matrix(1,2,1) Z<-X%*%BETA L<-rlogis(N,location=0, scale=1) Y <-as.vector(X%*%BETA+L>=0)*1 KS <- npindexbw (xdat=X, ydat=Y, bandwidth.compute=TRUE, method=&quo...

Dear R-users, I am very enthusiastic about the capacities offered by the np package and pretty fond of it. Nevertheless, trying to estimate Ichimura and Klein and Spady models on my data, I would like to be able to provide the npindex function with my guesses for the bandwidth (eventually computed by other means). The fact that the option 'bandwidth.compute' in the function npindexbw exists and seems to be switchable (TRUE/FALSE) makes be believe that it...

...l not work (apparently.) Nor can I see how to get Gnumeric to call the function repeatedly, i.e. without retyping 'runR()' or similar; even the refresh button F9 only works once (therafter a message to the effect that "R Code is not found" appears.) Any pointers? Thnaks, Richard Spady P.S. This ua Gnumeric 1.0.9 on RedHat 8.0, R 1.6.1.

Dear all, I would like to create a code for semiparametric Klein and Spady's estimator. For that I created a function that provides the log-likelihood function for each observation (so it is a function of betas and i, where i denotes the observation). Now, in order to maximize the log-likelihood function, I have to sum these log-likelihood functions for each i and so...

...robability of firms. I do not want to use the traditional binary respose models, such as Probit model or Logit model, since they are too restricted in their function form. Therefore, I seek to adopt some semiparametric methods, precisely estimation methods of single-index models, such as Klein-Spady estimator, Ichimura's SLS estimator, maximum score estimator,and smoothed maximum score estimator. Hence, my question is: Is there any package in R which can operate above estimation methods? I have search them for a long time. If anyone can help me, you really give me a huge hand! :) B...

Dear R-Help, I am Deniz. I am currently trying to replicate a semiparametric sample selection paper and I am working on Klein and Spady estimator. I am using the npindex() and npindexbw() functions. The problem is, I need results for single bandwidth and when I set bandwidth computation to "FALSE" mode, R is not optimizing anything. Here is the code I am using: rp_ksbw<-npindexbw(bws=c(1, -0.1, -0.08, 0.06, -0.14, -0....

Dear all, I am using np package in order to estimate a model with Klein and Spady estimator. To estimate the model I use KS <- npindexbw (xdat=X, ydat=Y, bandwidth.compute=TRUE, method="kleinspady", optim.maxit=10^3, ckertype="epanechnikov", ckerorder=2) and to estimate beta hats standard errors I use KSi <- npindex(KS, gradients=T, boot.num=300) vc...

Dear list, I am using the np package. With the npindex function I estimate a semiparametric single index model using the method of Klein-Spady. P(Z=1|X) = G(X?b) I don?t have any problems to calculated the fitted values and standard errors X?b: bw = npindexbw(xdat=x, ydat=y_bi, method="kleinspady", nmulti=2) model = npindex(bws= bw3, gradients= TRUE, residuals = TRUE, boot.num = 50) x_fit = predict(model, se.fit = TRUE) x_fi...

...s Research Council of Canada (SSHRC:www.sshrc.ca), and the Shared Hierarchical Academic Research Computing Network (SHARCNET:www.sharcnet.ca). Changes from version 0.13-1 to 0.14-1: * now use optim rather than nlm for minimisation in single index and smooth coefficient models * fixed bug in klein-spady objective function * regression standard errors are now available in the case of no continuous variables * summary should look prettier, print additional information * tidied up lingering issues with out-of-sample data and conditional modes * fixed error when plotting asymptotic errors with condi...

...s Research Council of Canada (SSHRC:www.sshrc.ca), and the Shared Hierarchical Academic Research Computing Network (SHARCNET:www.sharcnet.ca). Changes from version 0.13-1 to 0.14-1: * now use optim rather than nlm for minimisation in single index and smooth coefficient models * fixed bug in klein-spady objective function * regression standard errors are now available in the case of no continuous variables * summary should look prettier, print additional information * tidied up lingering issues with out-of-sample data and conditional modes * fixed error when plotting asymptotic errors with condi...