[R] npindex: fitted values of the function itself?
kristin.goebel at wiso.uni-hamburg.de
Thu Jul 19 18:13:14 CEST 2012
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
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_fit_bi_se = x_fit$se.fit
However, I also would like to obtain an estimate of G(X’b). For example,
after estimating a probit model, it would simply be
Any help would be very much appreciated!
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