问题描述
我只想使用SHARE的数据来复制对Brunello et al (2009)的研究。
到目前为止，我已经完成了数据整理工作，现在想从David M. Kaplan实现R脚本。
但是包装函数抛出了以下错误：
quant_treat_effect_men <- ivqr.see(tau = tau[2],Y = Y_men,D=D_men,X.exog = X_men,Z.excl = Z_men,b.init = 0 )
gmmq（tau = tau，Y = cbind（Y，D），X = X，Z.excl = Z.excl，dB = dD +的错误： list（message =“系统在计算上是奇异的：倒数条件编号= 1.76601e-25”，调用= solve.default（J，F）） 另外：警告消息： 在gmmq（tau = tau，Y = cbind（Y，D），X = X，Z.excl = Z.excl，dB = dD +中： （以上）来自pracma :: newtonsys
的错误
我认为这是由于协变矩阵X_Men（3968 x 53）似乎在计算上是奇异的。 X_men的摘要将添加到该帖子的末尾。为了解决这个问题，我尝试使用套索来降低矩阵的复杂度。以下输出显示了结果：
rq1 = LASSO.fit(Y_men,X_men,tau = 0.1,intercept = T,lambda = 1,coef.cutoff=1e-08)
rq1
[1] 6.523971e-01 0.000000e+00 0.000000e+00 0.000000e+00 0.000000e+00 0.000000e+00 0.000000e+00 0.000000e+00 0.000000e+00 0.000000e+00 0.000000e+00 0.000000e+00 0.000000e+00
[14] 0.000000e+00 0.000000e+00 0.000000e+00 0.000000e+00 0.000000e+00 0.000000e+00 0.000000e+00 0.000000e+00 0.000000e+00 0.000000e+00 0.000000e+00 0.000000e+00 0.000000e+00
[27] 0.000000e+00 0.000000e+00 0.000000e+00 0.000000e+00 0.000000e+00 0.000000e+00 0.000000e+00 0.000000e+00 0.000000e+00 0.000000e+00 0.000000e+00 0.000000e+00 0.000000e+00
[40] 0.000000e+00 0.000000e+00 0.000000e+00 -8.863981e-04 -2.191745e-04 4.236578e-04 2.619936e-04 4.748003e-05 0.000000e+00 -2.737640e-04 6.006391e-05 -4.542112e-04 3.343422e-04
[53] 2.287174e-05 0.000000e+00 0.000000e+00
现在我完全不确定以下问题：
- 作者如何设法使用如此大的协方差矩阵的分位数回归？
- 由于我仅使用了大约一半的观测值（由于仅对SHARE数据的限制），使用较少协变量的方式来控制效果是否“可以接受”？
X_men的摘要：
summary(X_men)
country_name_Austria country_name_Belgium country_name_Denmark country_name_France country_name_Germany country_name_Greece country_name_Italy country_name_Netherlands country_name_Spain
Min. :0.00000 Min. :0.0000 Min. :0.0000 Min. :0.0000 Min. :0.0000 Min. :0.0000 Min. :0.00000 Min. :0.0000 Min. :0.00000
1st Qu.:0.00000 1st Qu.:0.0000 1st Qu.:0.0000 1st Qu.:0.0000 1st Qu.:0.0000 1st Qu.:0.0000 1st Qu.:0.00000 1st Qu.:0.0000 1st Qu.:0.00000
Median :0.00000 Median :0.0000 Median :0.0000 Median :0.0000 Median :0.0000 Median :0.0000 Median :0.00000 Median :0.0000 Median :0.00000
Mean :0.03788 Mean :0.1292 Mean :0.0848 Mean :0.1071 Mean :0.1147 Mean :0.1169 Mean :0.07075 Mean :0.1282 Mean :0.06347
3rd Qu.:0.00000 3rd Qu.:0.0000 3rd Qu.:0.0000 3rd Qu.:0.0000 3rd Qu.:0.0000 3rd Qu.:0.0000 3rd Qu.:0.00000 3rd Qu.:0.0000 3rd Qu.:0.00000
Max. :1.00000 Max. :1.0000 Max. :1.0000 Max. :1.0000 Max. :1.0000 Max. :1.0000 Max. :1.00000 Max. :1.0000 Max. :1.00000
country_name_Sweden gdp_head_t_1 country_name_Austria_q country_name_Belgium_q country_name_Denmark_q country_name_France_q country_name_Germany_q country_name_Greece_q
Min. :0.000 Min. : 2053 Min. :-1.0000 Min. :-23.000 Min. :-11.0000 Min. :-7.0000 Min. :-2.000 Min. :-12.0000
1st Qu.:0.000 1st Qu.: 4762 1st Qu.: 0.0000 1st Qu.: 0.000 1st Qu.: 0.0000 1st Qu.: 0.0000 1st Qu.: 0.000 1st Qu.: 0.0000
Median :0.000 Median : 8112 Median : 0.0000 Median : 0.000 Median : 0.0000 Median : 0.0000 Median : 0.000 Median : 0.0000
Mean :0.147 Mean : 7485 Mean : 0.3166 Mean : -1.571 Mean : -0.1274 Mean : 0.4398 Mean : 0.794 Mean : -0.2627
3rd Qu.:0.000 3rd Qu.: 9437 3rd Qu.: 0.0000 3rd Qu.: 0.000 3rd Qu.: 0.0000 3rd Qu.: 0.0000 3rd Qu.: 0.000 3rd Qu.: 0.0000
Max. :1.000 Max. :14705 Max. :22.0000 Max. : 1.000 Max. : 11.0000 Max. :18.0000 Max. :21.000 Max. : 5.0000
country_name_Italy_q country_name_Netherlands_q country_name_Spain_q country_name_Sweden_q country_name_Austria_q_2 country_name_Belgium_q_2 country_name_Denmark_q_2 country_name_France_q_2
Min. :-3.0000 Min. :-13.0000 Min. :-1.000 Min. :-1.000 Min. : 0.000 Min. : 0.00 Min. : 0.000 Min. : 0.000
1st Qu.: 0.0000 1st Qu.: 0.0000 1st Qu.: 0.000 1st Qu.: 0.000 1st Qu.: 0.000 1st Qu.: 0.00 1st Qu.: 0.000 1st Qu.: 0.000
Median : 0.0000 Median : 0.0000 Median : 0.000 Median : 0.000 Median : 0.000 Median : 0.00 Median : 0.000 Median : 0.000
Mean : 0.3916 Mean : -0.4345 Mean : 0.495 Mean : 1.041 Mean : 3.338 Mean : 20.83 Mean : 1.834 Mean : 3.049
3rd Qu.: 0.0000 3rd Qu.: 0.0000 3rd Qu.: 0.000 3rd Qu.: 0.000 3rd Qu.: 0.000 3rd Qu.: 0.00 3rd Qu.: 0.000 3rd Qu.: 0.000
Max. :16.0000 Max. : 12.0000 Max. :20.000 Max. :22.000 Max. :484.000 Max. :529.00 Max. :121.000 Max. :324.000
country_name_Germany_q_2 country_name_Greece_q_2 country_name_Italy_q_2 country_name_Netherlands_q_2 country_name_Spain_q_2 country_name_Sweden_q_2 country_name_Austria_age
Min. : 0.00 Min. : 0.000 Min. : 0.000 Min. : 0.000 Min. : 0.000 Min. : 0.0 Min. : 0.000
1st Qu.: 0.00 1st Qu.: 0.000 1st Qu.: 0.000 1st Qu.: 0.000 1st Qu.: 0.000 1st Qu.: 0.0 1st Qu.: 0.000
Median : 0.00 Median : 0.000 Median : 0.000 Median : 0.000 Median : 0.000 Median : 0.0 Median : 0.000
Mean : 7.56 Mean : 2.411 Mean : 3.469 Mean : 3.323 Mean : 4.995 Mean : 10.1 Mean : 2.108
3rd Qu.: 0.00 3rd Qu.: 0.000 3rd Qu.: 0.000 3rd Qu.: 0.000 3rd Qu.: 0.000 3rd Qu.: 0.0 3rd Qu.: 0.000
Max. :441.00 Max. :144.000 Max. :256.000 Max. :169.000 Max. :400.000 Max. :484.0 Max. :65.000
country_name_Belgium_age country_name_Denmark_age country_name_France_age country_name_Germany_age country_name_Greece_age country_name_Italy_age country_name_Netherlands_age
Min. : 0.000 Min. : 0.000 Min. : 0.000 Min. : 0.000 Min. : 0.000 Min. : 0.000 Min. : 0.000
1st Qu.: 0.000 1st Qu.: 0.000 1st Qu.: 0.000 1st Qu.: 0.000 1st Qu.: 0.000 1st Qu.: 0.000 1st Qu.: 0.000
Median : 0.000 Median : 0.000 Median : 0.000 Median : 0.000 Median : 0.000 Median : 0.000 Median : 0.000
Mean : 6.998 Mean : 4.706 Mean : 5.773 Mean : 6.429 Mean : 6.459 Mean : 3.995 Mean : 7.101
3rd Qu.: 0.000 3rd Qu.: 0.000 3rd Qu.: 0.000 3rd Qu.: 0.000 3rd Qu.: 0.000 3rd Qu.: 0.000 3rd Qu.: 0.000
Max. :65.000 Max. :65.000 Max. :65.000 Max. :65.000 Max. :65.000 Max. :65.000 Max. :65.000
country_name_Spain_age country_name_Sweden_age country_name_Austria_age_2 country_name_Belgium_age_2 country_name_Denmark_age_2 country_name_France_age_2 country_name_Germany_age_2
Min. : 0.000 Min. : 0.000 Min. : 0 Min. : 0.0 Min. : 0.0 Min. : 0.0 Min. : 0.0
1st Qu.: 0.000 1st Qu.: 0.000 1st Qu.: 0 1st Qu.: 0.0 1st Qu.: 0.0 1st Qu.: 0.0 1st Qu.: 0.0
Median : 0.000 Median : 0.000 Median : 0 Median : 0.0 Median : 0.0 Median : 0.0 Median : 0.0
Mean : 3.567 Mean : 8.368 Mean : 118 Mean : 380.7 Mean : 262.9 Mean : 312.4 Mean : 362.6
3rd Qu.: 0.000 3rd Qu.: 0.000 3rd Qu.: 0 3rd Qu.: 0.0 3rd Qu.: 0.0 3rd Qu.: 0.0 3rd Qu.: 0.0
Max. :65.000 Max. :65.000 Max. :4225 Max. :4225.0 Max. :4225.0 Max. :4225.0 Max. :4225.0
country_name_Greece_age_2 country_name_Italy_age_2 country_name_Netherlands_age_2 country_name_Spain_age_2 country_name_Sweden_age_2 gdp_head gdp_head_t_2 coef
Min. : 0.0 Min. : 0.0 Min. : 0.0 Min. : 0.0 Min. : 0 Min. : 2309 Min. : 2053 Min. :1
1st Qu.: 0.0 1st Qu.: 0.0 1st Qu.: 0.0 1st Qu.: 0.0 1st Qu.: 0 1st Qu.: 5060 1st Qu.: 4515 1st Qu.:1
Median : 0.0 Median : 0.0 Median : 0.0 Median : 0.0 Median : 0 Median : 8363 Median : 7737 Median :1
Mean : 358.7 Mean : 226.9 Mean : 395.2 Mean : 201.6 Mean : 479 Mean : 7806 Mean : 7176 Mean :1
3rd Qu.: 0.0 3rd Qu.: 0.0 3rd Qu.: 0.0 3rd Qu.: 0.0 3rd Qu.: 0 3rd Qu.: 9864 3rd Qu.: 9186 3rd Qu.:1
Max. :4225.0 Max. :4225.0 Max. :4225.0 Max. :4225.0 Max. :4225 Max. :14825 Max. :14647 Max. :1
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