robust.se: robust.se

In ivpack: Instrumental Variable Estimation.

Description

Compute robust to heteroskedasticity standard errors for an instrumental variables analysis. These are the Huber-White standard errors for an instrumental variable analysis as described in White (1982).

Usage

robust.se(ivmodel)

Arguments

ivmodel

Model object fit by ivreg.

Value

Coefficient estimates, robust standard errors and t-tests based on the robust standard errors.

Author(s)

Dylan Small

References

White, H. (1982), Instrumental Variables Regression with Independent Observations, Econometrica, 50, 483-499.

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)
robust.se(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
[1] "Robust Standard Errors"

t test of coefficients:

               Estimate  Std. Error t value  Pr(>|t|)    
(Intercept)  3.77396514  0.91740530  4.1137 3.998e-05 ***
educ         0.13150384  0.05399953  2.4353 0.0149384 *  
exper        0.10827111  0.02334656  4.6376 3.676e-06 ***
expersq     -0.00233494  0.00034783 -6.7128 2.275e-11 ***
black       -0.14677575  0.05236221 -2.8031 0.0050942 ** 
south       -0.14467150  0.02906535 -4.9775 6.807e-07 ***
smsa         0.11180831  0.03106195  3.5995 0.0003240 ***
reg661      -0.10781423  0.04096681 -2.6317 0.0085383 ** 
reg662      -0.00704645  0.03369945 -0.2091 0.8343868    
reg663       0.04044455  0.03252078  1.2437 0.2137248    
reg664      -0.05791715  0.03921056 -1.4771 0.1397592    
reg665       0.03845768  0.04946752  0.7774 0.4369648    
reg666       0.05508871  0.05213085  1.0567 0.2907159    
reg667       0.02675798  0.05010660  0.5340 0.5933667    
reg668      -0.19089123  0.05068972 -3.7659 0.0001692 ***
smsa66       0.01853110  0.02051035  0.9035 0.3663331    
---
Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1

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