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Sep 22nd, 2014
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  1. set.seed (12345)
  2. m <- rnorm(20, 0, 1)
  3. n <- 10
  4. b1 <- 0.5
  5. b2 <- 2
  6. model1_b <- matrix(nrow=n, ncol=2)
  7. model2_b <- matrix(nrow=n, ncol=2)
  8. error <- matrix(nrow=20, ncol=n)
  9.  
  10. for (a in 1:2){
  11. for (b in 1:4){
  12.  
  13. x <- (m+a)/b
  14.  
  15. for (r in 1:10){
  16. repeat {
  17.  
  18. e <- rnorm(20, 0, 0.5) # the error term
  19. error[,r] <- e
  20.  
  21. # OLS estimation of Model_1
  22. y=b1 + b2*x + e # the true model 1
  23. Model_1 <- lm (y~x)
  24. model1_b[r,]=Model_1$coef
  25.  
  26. # OLS estimation of Model_2
  27. y=b1 + b2*(x^2) + e # the true model 2
  28. Model_2 <- lm (y~x)
  29. model2_b[r,]=Model_2$coef
  30.  
  31. if (Model_1$coef[1]!=0 & Model_2$coef[1]!=0) {break}
  32.  
  33. } # end of repeat{} loop
  34. } # end of for(r){} loop
  35. } # end of for(b){} loop
  36. } # end of for(a){} loop
  37.  
  38. error
  39. model1_b
  40. model2_b
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