Instrument weights #42
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bramtayl
commented
Feb 10, 2023
| @@ -128,16 +128,14 @@ twosls <- function(y, X, W, intercept = FALSE, lm.type = "lm"){ | |||
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| if(intercept) { | |||
| model <- switch(lm.type, | |||
| "lm" = lm(y ~ Xhat), | |||
| "lm.fit" = lm.fit(cbind(1, Xhat), y), | |||
| ".lm.fit" = .lm.fit(cbind(1, Xhat), y)) | |||
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I wasn't sure how to weight ".lm.fit". I don't see the ".lm.fit" option being used, and this function isn't exported, so I just deleted it?
bramtayl
commented
Feb 10, 2023
| if (! is.numeric(w)) stop("'weights' must be a numeric vector") | ||
| if (any(w < 0) || anyNA(w)) stop("missing or negative weights not allowed") | ||
| X <- X * sqrt(w) | ||
| y <- y * sqrt(w) |
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Delete this because I used lm to weight below and don't want to weight twice.
bramtayl
commented
Feb 10, 2023
| # also: RE bvk/BE/FE IV do not have weighting code. | ||
| if (inst.method == "baltagi") W <- sqrt(w) * cbind(W1, W2, B1) | ||
| if (inst.method == "am") W <- sqrt(w) * cbind(W1, W2, B1, StarW1) | ||
| if (inst.method == "bms") W <- sqrt(w) * cbind(W1, W2, B1, StarW1, StarW2) |
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Delete weights because I used lm to weight below and don't want to weight twice
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No idea if I did this right. Closes #41.