Run single Prono simulation with GARCH-based instruments

Run single Prono simulation with GARCH-based instruments

Usage

run_single_prono_simulation(config, return_details = FALSE)

Arguments

config

Configuration list with simulation parameters

return_details

If TRUE, return detailed results

Value

List with estimation results including gamma1_true, gamma1_ols, gamma1_iv, standard errors, biases, F-statistic, and optionally full model objects

References

Prono, T. (2014). The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Triangular Systems, with Applications to Asset Pricing Models That Include a Mismeasured Factor. Journal of Applied Econometrics, 29(5), 800-824. doi:10.1002/jae.2387

See also

generate_prono_data for data generation run_prono_monte_carlo for Monte Carlo analysis prono_gmm for GMM estimation