simulation_dgp function

Simulating observations from the data-generating process considered in Lee and Ng (2022)

Simulates observations from the data-generating process considered in Lee and Ng (2022)

simulation_dgp(n, d, hetero = FALSE)

Arguments

• n: sample size
• d: dimension of regressors from a multivariate normal distribution
• hetero: TRUE if the conditional variance of the error term is heteroskedastic and FALSE if it is homoskedastic (default: FALSE)

Returns

An S3 object has the following elements. - Y: n observations of outcomes

• X: n times d matrix of regressors

• beta: d dimensional vector of coefficients

Examples

data <- simulation_dgp(100, 5, hetero = TRUE)
  y <- data$Y
  x <- data$X
  model  <- lm(y ~ x)

References

Lee, S. and Ng, S. (2022). "Least Squares Estimation Using Sketched Data with Heteroskedastic Errors," arXiv:2007.07781.