confint.ivmodel: Confidence Intervals for the Fitted Model in 'ivmodel' Object

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

Confidence Intervals for the Fitted Model in ivmodel Object

Description

This confint methods returns a matrix of two columns, each row represents a confident interval for different IV approaches, which include k-Class, AR (Anderson and Rubin 1949) and CLR (Moreira 2003) estimations.

Usage

## S3 method for class 'ivmodel'
confint(object,parm,level=NULL,...)

Arguments

object	ivmodel object.
parm	Ignored for our code.
level	The confidence level.
...	Additional argument(s) for methods.

Value

A matrix, each row represents a confidence interval for different IV approaches.

Author(s)

Yag Jiang, Hyunseung Kang, and Dylan Small

References

Andrews, D. W. K., Moreira, M. J., and Stock, J. H. (2006). Optimal two-side invariant similar tests for instrumental variables regression. Econometrica 74, 715-752.
Moreira, M. J. (2003). A conditional likelihood ratio test for structural models. Econometrica 71, 1027-1048.
Fuller, W. (1977). Some properties of a modification of the limited information estimator. Econometrica, 45, 939-953.
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

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)
confint(foo)

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