return(mlefit)
}
-run_simulation_depvar <- function(df, result, outcome_formula=y~x+z, proxy_formula=w_pred~y){
+run_simulation_depvar <- function(df, result, outcome_formula=y~x+z, proxy_formula=w_pred~y, confint_method='quad'){
(accuracy <- df[,mean(w_pred==y)])
result <- append(result, list(accuracy=accuracy))
temp.df <- copy(df)
temp.df[,y:=y.obs]
- mod.caroll.lik <- measerr_mle_dv(temp.df, outcome_formula=outcome_formula, proxy_formula=proxy_formula)
- fisher.info <- solve(mod.caroll.lik$hessian)
- coef <- mod.caroll.lik$par
- ci.upper <- coef + sqrt(diag(fisher.info)) * 1.96
- ci.lower <- coef - sqrt(diag(fisher.info)) * 1.96
+
+ if(confint_method=='quad'){
+ mod.caroll.lik <- measerr_mle_dv(temp.df, outcome_formula=outcome_formula, proxy_formula=proxy_formula)
+ fischer.info <- solve(mod.caroll.lik$hessian)
+ coef <- mod.caroll.lik$par
+ ci.upper <- coef + sqrt(diag(fischer.info)) * 1.96
+ ci.lower <- coef - sqrt(diag(fischer.info)) * 1.96
+ }
+ else{ ## confint_method is 'profile'
+
+ mod.caroll.lik <- measerr_mle_dv(temp.df, outcome_formula=outcome_formula, proxy_formula=proxy_formula, method='bbmle')
+ coef <- coef(mod.caroll.lik)
+ ci <- confint(mod.caroll.lik, method='spline')
+ ci.lower <- ci[,'2.5 %']
+ ci.upper <- ci[,'97.5 %']
+ }
+
result <- append(result,
list(Bxy.est.mle = coef['x'],
Bxy.ci.upper.mle = ci.upper['x'],
# amelia says use normal distribution for binary variables.
-
- amelia.out.k <- amelia(df, m=200, p2s=0, idvars=c('y','ystar','w'))
- mod.amelia.k <- zelig(y.obs~x+z, model='ls', data=amelia.out.k$imputations, cite=FALSE)
- (coefse <- combine_coef_se(mod.amelia.k, messages=FALSE))
- est.x.mi <- coefse['x','Estimate']
- est.x.se <- coefse['x','Std.Error']
- result <- append(result,
- list(Bxy.est.amelia.full = est.x.mi,
+ amelia_result <- list(Bxy.est.amelia.full = NA,
+ Bxy.ci.upper.amelia.full = NA,
+ Bxy.ci.lower.amelia.full = NA,
+ Bzy.est.amelia.full = NA,
+ Bzy.ci.upper.amelia.full = NA,
+ Bzy.ci.lower.amelia.full = NA
+ )
+
+ tryCatch({
+ amelia.out.k <- amelia(df, m=200, p2s=0, idvars=c('y','ystar','w'))
+ mod.amelia.k <- zelig(y.obs~x+z, model='ls', data=amelia.out.k$imputations, cite=FALSE)
+ (coefse <- combine_coef_se(mod.amelia.k, messages=FALSE))
+ est.x.mi <- coefse['x','Estimate']
+ est.x.se <- coefse['x','Std.Error']
+
+ est.z.mi <- coefse['z','Estimate']
+ est.z.se <- coefse['z','Std.Error']
+ amelia_result <- list(Bxy.est.amelia.full = est.x.mi,
Bxy.ci.upper.amelia.full = est.x.mi + 1.96 * est.x.se,
- Bxy.ci.lower.amelia.full = est.x.mi - 1.96 * est.x.se
- ))
-
- est.z.mi <- coefse['z','Estimate']
- est.z.se <- coefse['z','Std.Error']
-
- result <- append(result,
- list(Bzy.est.amelia.full = est.z.mi,
+ Bxy.ci.lower.amelia.full = est.x.mi - 1.96 * est.x.se,
+ Bzy.est.amelia.full = est.z.mi,
Bzy.ci.upper.amelia.full = est.z.mi + 1.96 * est.z.se,
Bzy.ci.lower.amelia.full = est.z.mi - 1.96 * est.z.se
- ))
+ )
+ },
+ error = function(e){
+ result[['error']] <- e}
+ )
+ result <- append(result,amelia_result)
return(result)
## outcome_formula, proxy_formula, and truth_formula are passed to measerr_mle
-run_simulation <- function(df, result, outcome_formula=y~x+z, proxy_formula=NULL, truth_formula=NULL){
+run_simulation <- function(df, result, outcome_formula=y~x+z, proxy_formula=NULL, truth_formula=NULL, confint_method='quad'){
accuracy <- df[,mean(w_pred==x)]
accuracy.y0 <- df[y<=0,mean(w_pred==x)]
Bxy.ci.lower.naive = naive.ci.Bxy[1],
Bzy.ci.upper.naive = naive.ci.Bzy[2],
Bzy.ci.lower.naive = naive.ci.Bzy[1]))
-
+ amelia_result <- list(
+ Bxy.est.amelia.full = NULL,
+ Bxy.ci.upper.amelia.full = NULL,
+ Bxy.ci.lower.amelia.full = NULL,
+ Bzy.est.amelia.full = NULL,
+ Bzy.ci.upper.amelia.full = NULL,
+ Bzy.ci.lower.amelia.full = NULL
+ )
- amelia.out.k <- amelia(df, m=200, p2s=0, idvars=c('x','w'))
- mod.amelia.k <- zelig(y~x.obs+z, model='ls', data=amelia.out.k$imputations, cite=FALSE)
- (coefse <- combine_coef_se(mod.amelia.k, messages=FALSE))
+ tryCatch({
+ amelia.out.k <- amelia(df, m=200, p2s=0, idvars=c('x','w'))
+ mod.amelia.k <- zelig(y~x.obs+z, model='ls', data=amelia.out.k$imputations, cite=FALSE)
+ (coefse <- combine_coef_se(mod.amelia.k))
- est.x.mi <- coefse['x.obs','Estimate']
- est.x.se <- coefse['x.obs','Std.Error']
- result <- append(result,
- list(Bxy.est.amelia.full = est.x.mi,
- Bxy.ci.upper.amelia.full = est.x.mi + 1.96 * est.x.se,
- Bxy.ci.lower.amelia.full = est.x.mi - 1.96 * est.x.se
- ))
+ est.x.mi <- coefse['x.obs','Estimate']
+ est.x.se <- coefse['x.obs','Std.Error']
+ est.z.mi <- coefse['z','Estimate']
+ est.z.se <- coefse['z','Std.Error']
- est.z.mi <- coefse['z','Estimate']
- est.z.se <- coefse['z','Std.Error']
+ amelia_result <- list(Bxy.est.amelia.full = est.x.mi,
+ Bxy.ci.upper.amelia.full = est.x.mi + 1.96 * est.x.se,
+ Bxy.ci.lower.amelia.full = est.x.mi - 1.96 * est.x.se,
+ Bzy.est.amelia.full = est.z.mi,
+ Bzy.ci.upper.amelia.full = est.z.mi + 1.96 * est.z.se,
+ Bzy.ci.lower.amelia.full = est.z.mi - 1.96 * est.z.se
+ )
+
+ },
+
+ error = function(e){
+ result[['error']] <- e}
+ )
- result <- append(result,
- list(Bzy.est.amelia.full = est.z.mi,
- Bzy.ci.upper.amelia.full = est.z.mi + 1.96 * est.z.se,
- Bzy.ci.lower.amelia.full = est.z.mi - 1.96 * est.z.se
- ))
+ result <- append(result, amelia_result)
+
+ mle_result <- list(Bxy.est.mle = NULL,
+ Bxy.ci.upper.mle = NULL,
+ Bxy.ci.lower.mle = NULL,
+ Bzy.est.mle = NULL,
+ Bzy.ci.upper.mle = NULL,
+ Bzy.ci.lower.mle = NULL)
+
+ tryCatch({
temp.df <- copy(df)
temp.df <- temp.df[,x:=x.obs]
- mod.caroll.lik <- measerr_mle(temp.df, outcome_formula=outcome_formula, proxy_formula=proxy_formula, truth_formula=truth_formula)
- fisher.info <- solve(mod.caroll.lik$hessian)
- coef <- mod.caroll.lik$par
- ci.upper <- coef + sqrt(diag(fisher.info)) * 1.96
- ci.lower <- coef - sqrt(diag(fisher.info)) * 1.96
-
+ if(confint_method=='quad'){
+ mod.caroll.lik <- measerr_mle(temp.df, outcome_formula=outcome_formula, proxy_formula=proxy_formula, truth_formula=truth_formula, method='optim')
+ fischer.info <- solve(mod.caroll.lik$hessian)
+ coef <- mod.caroll.lik$par
+ ci.upper <- coef + sqrt(diag(fischer.info)) * 1.96
+ ci.lower <- coef - sqrt(diag(fischer.info)) * 1.96
+ } else { # confint_method == 'bbmle'
+
+ mod.caroll.lik <- measerr_mle(temp.df, outcome_formula=outcome_formula, proxy_formula=proxy_formula, truth_formula=truth_formula, method='bbmle')
+ coef <- coef(mod.caroll.lik)
+ ci <- confint(mod.caroll.lik, method='spline')
+ ci.lower <- ci[,'2.5 %']
+ ci.upper <- ci[,'97.5 %']
+ }
+ mle_result <- list(Bxy.est.mle = coef['x'],
+ Bxy.ci.upper.mle = ci.upper['x'],
+ Bxy.ci.lower.mle = ci.lower['x'],
+ Bzy.est.mle = coef['z'],
+ Bzy.ci.upper.mle = ci.upper['z'],
+ Bzy.ci.lower.mle = ci.lower['z'])
+ },
+
+ error=function(e) {result[['error']] <- as.character(e)
+ })
+
- result <- append(result,
- list(Bxy.est.mle = coef['x'],
- Bxy.ci.upper.mle = ci.upper['x'],
- Bxy.ci.lower.mle = ci.lower['x'],
- Bzy.est.mle = coef['z'],
- Bzy.ci.upper.mle = ci.upper['z'],
- Bzy.ci.lower.mle = ci.lower['z']))
-
- mod.zhang.lik <- zhang.mle.iv(df)
- coef <- coef(mod.zhang.lik)
- ci <- confint(mod.zhang.lik,method='quad')
- result <- append(result,
- list(Bxy.est.zhang = coef['Bxy'],
- Bxy.ci.upper.zhang = ci['Bxy','97.5 %'],
- Bxy.ci.lower.zhang = ci['Bxy','2.5 %'],
- Bzy.est.zhang = coef['Bzy'],
- Bzy.ci.upper.zhang = ci['Bzy','97.5 %'],
- Bzy.ci.lower.zhang = ci['Bzy','2.5 %']))
+ result <- append(result, mle_result)
+
+ mod.zhang.lik <- zhang.mle.iv(df)
+ coef <- coef(mod.zhang.lik)
+ ci <- confint(mod.zhang.lik,method='quad')
+ result <- append(result,
+ list(Bxy.est.zhang = coef['Bxy'],
+ Bxy.ci.upper.zhang = ci['Bxy','97.5 %'],
+ Bxy.ci.lower.zhang = ci['Bxy','2.5 %'],
+ Bzy.est.zhang = coef['Bzy'],
+ Bzy.ci.upper.zhang = ci['Bzy','97.5 %'],
+ Bzy.ci.lower.zhang = ci['Bzy','2.5 %']))
## What if we can't observe k -- most realistic scenario. We can't include all the ML features in a model.
## amelia.out.nok <- amelia(df, m=200, p2s=0, idvars=c("x","w_pred"), noms=noms)
projects / ml_measurement_error_public.git / blobdiff