AR.test: Anderson-Rubin (1949) Test

Description Usage Arguments Value Author(s) References See Also Examples

View source: R/AR.r

Description

AR.test computes the Anderson-Rubin (1949) test for the ivmodel object as well as the associated confidence interval.

Usage

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AR.test(ivmodel, beta0 = 0, alpha = 0.05)

Arguments

ivmodel

ivmodel object

beta0

Null value β_0 for testing null hypothesis H_0: β = β_0 in ivmodel. Default is 0.

alpha

The significance level for hypothesis testing. Default is 0.05.

Value

AR.test returns a list containing the following components

Fstat

The value of the test statistic for testing the null hypothesis H_0: β = β_0 in ivmodel

df

degree of freedom for the test statistic

p.value

The p value of the test under the null hypothesis H_0: β = β_0 in ivmodel

ci

A matrix of two columns, each row contains an interval associated with the confidence interval

ci.info

A human-readable string describing the confidence interval

Author(s)

Yang Jiang, Hyunseung Kang, and Dylan Small

References

Anderson, T.W. and Rubin, H. (1949), Estimation of the parameters of a single equation in a complete system of stochastic equations, Annals of Mathematical Statistics, 20, 46-63.

See Also

See also ivmodel for details on the instrumental variables model.

Examples

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data(card.data)
Y=card.data[,"lwage"]
D=card.data[,"educ"]
Z=card.data[,"nearc4"]
Xname=c("exper", "expersq", "black", "south", "smsa", "reg661", 
        "reg662", "reg663", "reg664", "reg665", "reg666", "reg667", 
		"reg668", "smsa66")
X=card.data[,Xname]
foo = ivmodel(Y=Y,D=D,Z=Z,X=X)
AR.test(foo)

Example output

$Fstat
[1] 5.415279

$df
[1]    1 2994

$p.value
[1] 0.02002763

$ci.info
[1] "[ 0.02480483596507 , 0.284823593339102 ]"

$ci
          lower     upper
[1,] 0.02480484 0.2848236

ivmodel documentation built on Nov. 17, 2017, 4:09 a.m.