para: Parameter Estimation from Ivmodel

In hyunseungkang/ivmodel: Statistical Inference and Sensitivity Analysis for Instrumental Variables Model

Parameter Estimation from Ivmodel

Description

para computes the estimation of several parameters for the ivmodel object.

Usage

para(ivmodel)

Arguments

ivmodel

ivmodel object.

Details

para computes the coefficients of 1st and 2nd stage regression (gamma and beta). It also computes the covariance matrix of the error term of 1st and 2nd stage. (sigmau, sigmav, and rho)

Value

para returns a list containing the following components

gamma	The coefficient of IV in first stage, calculated by linear regression
beta	The TSLS estimator of the exposure effect
sigmau	Standard deviation of potential outcome under control (structural error for y).
sigmav	Standard deviation of error from regressing treatment on instruments
rho	Correlation between u (potential outcome under control) and v (error from regressing treatment on instrument).

Author(s)

Yang Jiang, Hyunseung Kang, Dylan Small

See Also

See also ivmodel for details on the instrumental variables model.

Examples

data(card.data)
Y=card.data[,"lwage"]
D=card.data[,"educ"]
Z=card.data[,"nearc4"]
Xname=c("exper", "expersq", "black", "south", "smsa", "reg661", 
        "reg662", "reg663", "reg664", "reg665", "reg666", "reg667", 
		"reg668", "smsa66")
X=card.data[,Xname]
cardfit=ivmodel(Y=Y, D=D, Z=Z, X=X)
para(cardfit)

hyunseungkang/ivmodel documentation built on April 20, 2023, 9:20 p.m.