A dataset with two exogenous, normally distributed regressors, X1 and X2, two endogenous, continuous regressors, P1 and P2, having a T-distribution with 3 and 5 degrees of freedom respectively, with a correlation of 0.25. The correlation between P1 and the error was set at 0.33, while between P2 and the error, at 0.15. The dataset contains an intercept and the dependent variable, y. The true parameter value for the model: y = b0 + b1 * X1+ b2 * X2 + a1 * P1 + a2 * P2 + eps, are: b0 = 2, b1 = 1.5, b2 = -3, a1 = -1, a2 = 0.8.
data("dataCopC2")A data frame with 2500 observations on the following 6 variables.
ya numeric vector representing the dependent variable.
Ia numeric vector representing the intercept.
X1a numeric vector, normally distributed and exogenous.
X2a numeric vector, normally distributed and exogenous.
P1a numeric vector, continuous and endogenous having T-distribution with 3 degrees of freedom.
P2a numeric vector, continuous and endogenous having T-distribution with 5 degrees of freedom.