make_iivm_data | R Documentation |
Generates data from a interactive IV regression (IIVM) model. The data generating process is defined as
d_i = 1≤ft\lbrace α_x Z + v_i > 0 \right\rbrace,
y_i = θ d_i + x_i' β + u_i,
Z \sim \textstyle{Bernoulli} (0.5) and
≤ft(\begin{array}{c} u_i \\ v_i \end{array} \right) \sim \mathcal{N}≤ft(0, ≤ft(\begin{array}{cc} 1 & 0.3 \\ 0.3 & 1 \end{array} \right) \right).
The covariates :x_i \sim \mathcal{N}(0, Σ), where Σ
is a matrix with entries
Σ_{kj} = 0.5^{|j-k|} and β is a dim_x
-vector with
entries β_j=\frac{1}{j^2}.
The data generating process is inspired by a process used in the simulation experiment of Farbmacher, Gruber and Klaaßen (2020).
make_iivm_data( n_obs = 500, dim_x = 20, theta = 1, alpha_x = 0.2, return_type = "DoubleMLData" )
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Farbmacher, H., Guber, R. and Klaaßen, S. (2020). Instrument Validity Tests with Causal Forests. MEA Discussion Paper No. 13-2020. Available at SSRN:doi: 10.2139/ssrn.3619201.
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