Description Usage Arguments Value References See Also Examples
The function can be used to construct additional instruments to be supplied to hmlewbel
as additional instruments
in the "EIV" argument.
1 2 | internalIV(y, X, P, G = c("x2", "x3", "lnx", "1/x"), IIV = c("g", "gp",
"gy", "yp", "p2", "y2"), data = NULL)
|
y |
the vector or matrix containing the dependent variable. |
X |
the data frame or matrix containing the exogenous regressors of the model. |
P |
the endogenous variables of the model as columns of a matrix or dataframe. |
G |
the functional form of G. It can take four values, |
IIV |
the internal instrumental variable to be constructed. It can take six values, |
data |
optional data frame or list containing the variables in the model. |
Returns a vector/matrix constructed from the data whcih can be used as instrumental variable either in hmlewbel
or in any other function/algorithm making use
of instruments.
Lewbel, A. (1997). "Lewbel, A. (1997). 'Constructing Instruments for Regressions with Measurement Error when No Additional Data Are Available, with An Application to Patents and R&D'. Econometrica, 65(5), 1201-1213."
1 2 3 4 5 6 7 8 9 | # load data
data(dataHMLewbel)
y <- dataHMLewbel$y
X <- cbind(dataHMLewbel$X1,dataHMLewbel$X2)
colnames(X) <- c("X1","X2")
P <- dataHMLewbel$P
# build an instrument gp = (G - mean(G))(P - mean(P)) using the internalIV() function
# with G = "x3" meaning G(X) = X^3
eiv <- internalIV(y,X,P, G ="x3", IIV = "gp")
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