sim_1cut.ox

Overview

Functions summary

Global Functions
Run_1cut Runs the 1-cut experiments.
Local Functions
FormulateModel

Functions details

FormulateModel

static FormulateModel ( model , asModel , asFixed , cT )

Run_1cut

Run_1cut ( cRep , vBeta , cN , cT , dP_a , bForcedConstant , bUseAutometrics , bFixedX , dSigma , dMu , bDiagnostics , sOutliers )
Runs the 1-cut experiments.
Parameters:
cRep no of replications M
vBeta coefficients of relevant variables (also determines number of relevant variables)
cN total number of variables N
cT sample size
dP_a significance level for selection
bForcedConstant TRUE: force Constant in all models, FALSE: Constant is free (default is TRUE)
bUseAutometrics TRUE: use Autometrics, else use 1-cut (default is FALSE)
bFixedX TRUE: use fixed regressors (default is FALSE)
dSigma >0: sigma for N[0,1] errors, < 0: use student-t(3) instead of normal (default is 1)
dMu mean (default is 0)
bDiagnostics TRUE:use diagnostic testing with Autometrics (default TRUE)
sOutliers string definining outlier mode (default is "none")
Returns:
an array with two NxM matrices: beta and beta after two-step bias correction. When IIS is used, the dimension is (N+T)xM.