ARsens.test: Sensitivity Analysis for the Anderson-Rubin (1949) Test

In ivmodel: Statistical Inference and Sensitivity Analysis for Instrumental Variables Model

Sensitivity Analysis for the Anderson-Rubin (1949) Test

Description

ARsens.test computes sensitivity analysis with possibly invalid instruments, which is an extension of the Anderson-Rubin (1949) test. The formula for sensitivity analysis is derived in Jiang, Small and Zhang (2015).

Usage

ARsens.test(ivmodel, beta0 = 0, alpha = 0.05, deltarange = NULL)

Arguments

ivmodel	ivmodel object.
beta0	Null value \beta_0 for testing null hypothesis H_0: \beta = \beta_0 in ivmodel
alpha	The significance level for hypothesis testing. Default is 0.05.
deltarange	Range of sensitivity allowance. A numeric vector of length 2.

Value

ARsens.test returns a list containing the following components

ncFstat	The value of the test statistic for testing the null hypothesis H_0: \beta = \beta_0 in ivmodel
df	degree of freedom for the test statistic
ncp	non-central parameter for the test statistic
p.value	The p value of the test under the null hypothesis H_0: \beta = \beta_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
deltarange	The inputted range of sensitivity allowance.

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.
Wang, X., Jiang, Y., Small, D. and Zhang, N. (2017), Sensitivity analysis and power for instrumental variable studies, (under review of Biometrics).

See Also

See also ivmodel for details on the instrumental variables model.

Examples

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)
ARsens.test(foo, deltarange=c(-0.03, 0.03))

ivmodel documentation built on April 9, 2023, 5:08 p.m.