reverse-shooting

Matlab scripts for reverse shooting
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lsrob.m (473B)

      1 % LSROB.m   LStiny with Robust errors...
      2 
      3 function [beta,trob,sigma2] = lsrob(y,x);
      4 
      5 [N K] = size(x);
      6 xxinv = inv(x'*x);
      7 beta  = xxinv*x'*y;
      8 u     = y-x*beta;
      9 sigma2=u'*u/(N-K);
     10 stdest=sqrt(sigma2);
     11 vcv   =sigma2*xxinv;
     12 se    =sqrt(diag(vcv));
     13 tstat = beta./se;
     14 
     15 % Compute White robust standard errors
     16 
     17 robvcv=zeros(K,K);
     18 for i=1:N
     19 	robvcv = robvcv + u(i)^2*x(i,:)'*x(i,:);
     20 end % i
     21 robvcv = (N/(N-K))*xxinv*robvcv*xxinv;
     22 roberr = sqrt(diag(robvcv));
     23 trob   = beta./roberr;