Grocer Function

NAME

theil - Theil-Goldberger mixed estimator

CALLING SEQUENCE

[results]=theil(grocer_rvec,grocer_rmat,grocer_v,grocer_namey, arg1,...,argn)

PARAMETERS

Input

Output

DESCRIPTION

Computes Theil-Goldberger mixed estimator
y = X B + E, E = N(0,sige*IN)
c = R B + U, U = N(0,v)

EXAMPLE

r = theil(ones(5,1),eye(5,5),0.1*eye(5,5),'endo','exo')

This example shows the estimation of endogenous variables 'endo' on exogenous variables 'exo' (which should be a (nobsx5) constant matrix), with the relatively tight prior (v=0.1*eye(5,5)) that each coefficient should be equal to 1 (since c=ones(5,1) and R=eye(5,5)).

AUTHOR

Eric Dubois 2002