anderson.rubin.ci: anderson.rubin.ci

In ivpack: Instrumental Variable Estimation.

Description

Calculates the Anderson-Rubin confidence interval for the effect of a treatment (endogenous) variable using an instrumental variable.

Usage

anderson.rubin.ci(ivmodel, conflevel = 0.95)

Arguments

ivmodel	Instrumental variable (IV) model fit using ivreg. Make sure to use the option x=TRUE when fitting the ivreg model.
conflevel	Confidence level for confidence interval.

Value

Anderson-Rubin confidence interval for effect of treatment.

Author(s)

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

ivreg

Examples

### This is the IV model in panel A, column (5) of Table 3 from Card, 1995, "Using 
### Geographic Variation in College Proximity to Esimate the Return from Schooling"
data(card.data)
ivmodel=ivreg(lwage ~ educ + exper + expersq + black + south + smsa + reg661 + reg662 + 
reg663 + reg664 + reg665+ reg666 + reg667 + reg668 + smsa66, ~ nearc4 + exper + 
expersq + black + south + smsa + reg661+ reg662 + reg663 + reg664 + reg665 + reg666 + 
reg667 + reg668 + smsa66, x=TRUE, data=card.data)
anderson.rubin.ci(ivmodel)

Example output

Loading required package: AER
Loading required package: car
Loading required package: carData
Loading required package: lmtest
Loading required package: zoo

Attaching package: 'zoo'

The following objects are masked from 'package:base':

    as.Date, as.Date.numeric

Loading required package: sandwich
Loading required package: survival
$confidence.interval
[1] "[ 0.024804835963416 , 0.284823593340263 ]"

ivpack documentation built on May 2, 2019, 7:28 a.m.