OLSvsIV_second_step: Testing interface to second_step_OLS_IV class.

In fditraglia/fmscr:

Description

Testing interface to second_step_OLS_IV class.

Usage

OLSvsIV_second_step(tau, pi_sq, size = 0.05, inc = 0.005, n_sim = 1000L)

Arguments

tau	Controls degree of endogeneity of OLS.
pi_sq	First-stage R-squared (strengh of instruments).
size	One minus the norminal coverage probability of the intervals.
inc	Step size for grid over which width is minimized.
n_sim	Number of simulation draws.

Details

This is a testing interface to the C++ class that is use, among other things, as the second-step in the two-step simulation based confidence interval construction from Section 4.3 of the paper, based on drawing from the limit experiment. In this implementation it treats all population parameters that enter the limit as know with the exception of tau. (That is, it abstracts from sampling uncertainty.)

Value

List with two elements: simulation-based two-sided confidence interval for the post-FMSC estimator evaluated at tau and the same for the moment average estimator.

Examples

as.data.frame(OLSvsIV_second_step(tau = 3, pi_sq = 0.1))

fditraglia/fmscr documentation built on May 16, 2019, 12:10 p.m.