my.anderson_rubin: Anderson-Rubin CI for TSLS

In joshuadhigbee/myAppliedMetrics: What the Package Does (One Line, Title Case)

Description

This function returns point estimates and the variance-covariance matrix. Written for data.table arguments.

Usage

my.anderson_rubin(
  Yvar,
  Xvar,
  Inc,
  Exc,
  data,
  intercept = TRUE,
  tolerance = 1e-16,
  beta_low,
  beta_high,
  init_length = 10,
  precision
)

Arguments

Yvar	Dependent variable
Xvar	Endogenous regressor
Inc	Included instruments
Exc	Excluded instruments
data	Of type data.table
intercept	Logical, if including 1 as model intercept
tolerance	Tolerance level for matrix inversion
beta_low	Lower bound for search
beta_high	Upper bound for search
init_length	Size of search grid
precision	Maximum difference between points in and out of CI

Examples

my.anderson_rubin()

joshuadhigbee/myAppliedMetrics documentation built on March 19, 2021, 3:45 p.m.