riv.package: Robust instrumental variables estimator package.

In riv: Robust Instrumental Variables Estimator

Description

This package contains tools to find a robust instrumental variables estimator based on a high breakdown point S-estimator of location and covariance.

Details

riv(Y, Xend, Xex = NULL, Zinst, dummies = NULL, method = c('S-est', 'SD-est', 'MCD-est', 'classical'), nsamp = 500, bdp = 0.5)

finds a robust instrumental variables estimator using a high breakdown point S-estimator of location and covariance.

Author(s)

G.V. Cohen-Freue [e-mail]

D. Cubranic [e-mail]

with contributions from B. Kaufmann [e-mail] and R.H. Zamar [e-mail]

References

LOPUHAA,H.P. (1989). On the Relation between S-estimators and M-estimators of Multivariate Location and Covariance. Ann. Statist. 17 1662-1683.

COHEN-FREUE, G.V., ORTIZ-MOLINA, H., and ZAMAR, R.H. (2012) A Natural Robustification of the Ordinary Instrumental Variables Estimator. Submitted to Biometrics.

Examples

## load data earthquake: the first column is the response Y, the second
## the endogenous variable X and the third column is the instrument
## Zinst.
data(earthquake)
riv(earthquake[,1], earthquake[,2], NULL, earthquake[,3])

Example output

Loading required package: MASS
Loading required package: rrcov
Loading required package: robustbase
Scalable Robust Estimators with High Breakdown Point (version 1.4-4)

Loading required package: quantreg
Loading required package: SparseM

Attaching package: 'SparseM'

The following object is masked from 'package:base':

    backsolve

$Summary.Table
               Coef  Std.Err.         t     p.values
Intercept -3.951762 0.9663287 -4.089459 1.306733e-04
Xend1      1.723711 0.1842717  9.354180 2.513545e-13

$VC
           Intercept       Xend1
Intercept  0.9337912 -0.17756126
Xend1     -0.1775613  0.03395606

$MSE
[1] 3.357397e-01 4.230303e-05 2.407210e-01

$MD
 [1]  2.6161475  2.1010582  3.7902163  0.6508990  1.2012693  0.3138404
 [7]  1.8264816  2.4488099  2.7729167  0.7877147  0.8437099  3.3604647
[13]  1.7854074  3.0953708  0.9310053 10.2148784  2.9530246  0.4945655
[19]  3.8296050  1.1389122  1.0206674  2.9530246  2.6920210  1.3360838
[25] 11.5571788  2.2831379  4.4192500 21.6236724  0.9236091  5.6985392
[31]  3.5463859  6.8174751  1.8142599  2.7682896  6.5310250  5.6081253
[37]  1.2917857  1.1250621  4.4963653  0.7883974  1.1250621  3.4380920
[43]  2.4760525  6.1569889  8.3175502  2.1663636  0.7768855  1.0970172
[49]  1.0446232  6.6479281  4.0884032  1.2095466  1.3486368 23.8740477
[55]  0.5050098  1.9011834  1.1885103  1.3405075  2.2008037 11.9843475
[61]  3.0065766  3.1675395

$weight
 [1] 1.669560e-02 1.859491e-02 1.274872e-02 2.449153e-02 2.215815e-02
 [6] 2.597820e-02 1.964916e-02 1.730141e-02 1.613784e-02 2.390057e-02
[11] 2.366079e-02 1.413176e-02 1.980937e-02 1.502040e-02 2.328938e-02
[16] 5.620581e-04 1.550875e-02 2.517563e-02 1.262552e-02 2.241666e-02
[21] 2.291097e-02 1.550875e-02 1.642447e-02 2.160439e-02 2.571256e-05
[26] 1.791183e-02 1.085274e-02 0.000000e+00 2.332074e-02 7.467438e-03
[31] 1.352468e-02 5.023777e-03 1.969676e-02 1.615417e-02 5.603390e-03
[36] 7.685973e-03 2.178558e-02 2.247428e-02 1.063080e-02 2.389764e-02
[41] 2.247428e-02 1.387666e-02 1.720205e-02 6.407850e-03 2.505102e-03
[46] 1.834844e-02 2.394709e-02 2.259118e-02 2.281039e-02 5.363023e-03
[51] 1.183093e-02 2.212395e-02 2.155319e-02 0.000000e+00 2.512963e-02
[56] 1.935946e-02 2.221093e-02 2.158634e-02 1.821912e-02 0.000000e+00
[61] 1.532411e-02 1.477579e-02

There were 13 warnings (use warnings() to see them)

riv documentation built on May 2, 2019, 4:11 a.m.