ivreg.fit.EX: Fits the Two Stage Least Squared Estimates and EX estimates

In ivregEX: Create Independent Evidence in IV Analyses and Do Sensitivity Analysis in Regression and IV Analysis

Description

Calculates the instrumental variables model when the output, regressors and instrument matrices are explicitly provided.

Usage

ivreg.fit.EX(x, y, z, weights, offset, ...)

Arguments

x	regressor matrix.
y	vector with dependent variable.
z	instruments matrix.
weights	an optional vector of weights to be used in the fitting process.
offset	an optional offset that can be used to specify an a priori known component to be included during fitting.
...	further arguments passed to lm.fit or link[stats]{lm.wfit}, respectively.

Details

See documentation of ivreg.fit for further operational details.

Statistical inference and sensitivity analysis based on the output of ivreg.fit.Ex can be performed using coeftestIV and sensIvreg functions.

Value

ivreg.fit.EX returns an object of class ivregEX list with the following components:

coefficients	parameter estimates.
residuals	a vector of residuals.
fitted.values	a vector of predicted means.
weights	either the vector of weights used (if any) or NULL (if none).
offset	either the offset used (if any) or NULL (if none).
estfun	a matrix containing the empirical estimating functions.
n	number of observations.
nobs	number of observations with non-zero weights.
rank	the numeric rank of the fitted linear model.
df.residual	residual degrees of freedom for fitted model.
cov.unscaled	unscaled covariance matrix for the coefficients.
sigma	residual standard error.
y	the response vector.
x	a list with elements "regressors", "instruments", "projected", containing the model matrices from the respective components. "projected" is the matrix of regressors projected on the image of the instruments.
coefficientsEX	parameter estimates of the EX analysis
residualsEX	vector of residuals in EX regression
fitted.valuesEX	vector of fitted values in EX regression
vhat	residuals of first stage of two stage least squared analysis
vars	A list of variable names. List has three vectors for three kinds of variables: 'exogenous', 'endogenous' and 'instruments'.

Author(s)

Bikram Karmakar

See Also

ivreg.EX, coeftestIV, sensIvreg, ivreg.fit

Examples

data("CigarettesSW", package = "AER")
CigarettesSW$rprice <- with(CigarettesSW, price/cpi)
CigarettesSW$rincome <- with(CigarettesSW, income/population/cpi)
CigarettesSW$tdiff <- with(CigarettesSW, (taxs - tax)/cpi)


x = CigarettesSW[CigarettesSW[,'year'] == "1995", c('rprice', 'rincome')]
y = CigarettesSW[CigarettesSW[,'year'] == "1995", c('packs')]
z = CigarettesSW[CigarettesSW[,'year'] == "1995", c('tdiff', 'rincome')]

fm3 <- ivreg.fit.EX(as.matrix(x), y, z)

ivregEX documentation built on May 1, 2019, 10:08 p.m.