stock_yogo_reccomender: Recommend a critical value for the Cragg-Donald test given a...

In cragg: Tests for Weak Instruments in R

Description

Recommend a critical value for the Cragg-Donald test given a maximum allowable bias/size distortion

Usage

stock_yogo_reccomender(K, N, B, size_bias)

Arguments

K	(int). The number of instruments.
N	(int). The number of endogenous variables (treatments)
B	One of [.05, .1, .15, .2, .25, .3]. The maximum size of allowable bias relative to the normal OLS or the maximum Wald test size distortion.
size_bias	Either "bias" or "size". Whether to use a critical value based on the maximum allowable bias relative to regular OLS (bias), or maximum Wald test size distortion.

Value

(float) the recommended critical value.

Examples

#To reccomend a critical value for a test with 2 endogenous variables
#and four instruments based on a 5% maximum allowable bias relative to OLS

stock_yogo_reccomender(4,2,.05,"bias")

cragg documentation built on Jan. 13, 2021, 6:16 p.m.