Created
October 13, 2017 19:33
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Classic instrumental variables regression model for Stan
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data { | |
int N; | |
int PX; // dimension of exogenous covariates | |
int PN; // dimension of endogenous covariates | |
int PZ; // dimension of instruments | |
matrix[N, PX] X_exog; // exogenous covariates | |
matrix[N, PN] X_endog; // engogenous covariates | |
matrix[N, PZ] Z; // instruments | |
vector[N] Y_outcome; // outcome variable | |
int<lower=0,upper=1> run_estimation; // simulate (0) or estimate (1) | |
} | |
transformed data { | |
matrix[N, 1 + PN] Y; | |
Y[,1] = Y_outcome; | |
Y[,2:] = X_endog; | |
} | |
parameters { | |
vector[PX + PN] gamma1; | |
matrix[PX + PZ, PN] gamma2; | |
vector[PN + 1] alpha; | |
vector<lower = 0>[1 + PN] scale; | |
cholesky_factor_corr[1 + PN] L_Omega; | |
} | |
transformed parameters { | |
matrix[N, 1 + PN] mu; // the conditional means of the process | |
mu[:,1] = rep_vector(alpha[1], N) + append_col(X_endog,X_exog)*gamma1; | |
mu[:,2:] = rep_matrix(alpha[2:]', N) + append_col(X_exog, Z)*gamma2; | |
} | |
model { | |
// priors | |
to_vector(gamma1) ~ normal(0, 1); | |
to_vector(gamma2) ~ normal(0, 1); | |
to_vector(alpha) ~ normal(0, 1); | |
scale ~ cauchy(0, 2); | |
L_Omega ~ lkj_corr_cholesky(4); | |
// likelihood | |
if(run_estimation ==1){ | |
for(n in 1:N) { | |
Y[n] ~ multi_normal_cholesky(mu[n], diag_pre_multiply(scale, L_Omega)); | |
} | |
} | |
} | |
generated quantities { | |
matrix[N, 1 + PN] Y_simulated; | |
for(n in 1:N) { | |
Y_simulated[n, 1:(1+PN)] = multi_normal_cholesky_rng(mu[n]', diag_pre_multiply(scale, L_Omega))'; | |
} | |
} |
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I am trying to make sense of this code and there is something I do not understand: shouldn't line 27 be something like
mu[:,1] = rep_vector(alpha[1], N) + append_col(mu[:,2:],X_exog)*gamma1;
You want your estimation of the exogenous variables (and not the exogenous variables themselves) into the estimation of the main effect, don't you?