cluster.im.ivreg {clusterSEs}

Cluster-Adjusted Confidence Intervals And p-Values For GLM

Description

Computes p-values and confidence intervals for GLM models based on cluster-specific model estimation (Ibragimov and Muller 2010). A separate model is estimated in each cluster, and then p-values and confidence intervals are computed based on a t/normal distribution of the cluster-specific estimates.

Usage

cluster.im.ivreg(
  mod,
  dat,
  cluster,
  ci.level = 0.95,
  report = TRUE,
  drop = FALSE,
  return.vcv = FALSE
)

Arguments

mod

A model estimated using ivreg.

dat

The data set used to estimate mod.

cluster

A formula of the clustering variable.

ci.level

What confidence level should CIs reflect?

report

Should a table of results be printed to the console?

drop

Should clusters within which a model cannot be estimated be dropped?

return.vcv

Should a VCV matrix and the means of cluster-specific coefficient estimates be returned?

Value

A list with the elements

p.values

A matrix of the estimated p-values.

ci

A matrix of confidence intervals.

Note

Confidence intervals are centered on the cluster averaged estimate, which can diverge from original model estimates under several circumstances (e.g., if clusters have different numbers of observations). Consequently, confidence intervals may not be centered on original model estimates. If drop = TRUE, any cluster for which all coefficients cannot be estimated will be automatically dropped from the analysis.

Author(s)

Justin Esarey

References

Esarey, Justin, and Andrew Menger. 2017. "Practical and Effective Approaches to Dealing with Clustered Data." Political Science Research and Methods forthcoming: 1-35. <URL:http://jee3.web.rice.edu/cluster-paper.pdf>.

Ibragimov, Rustam, and Ulrich K. Muller. 2010. "t-Statistic Based Correlation and Heterogeneity Robust Inference." Journal of Business & Economic Statistics 28(4): 453-468. <DOI:10.1198/jbes.2009.08046>.

Examples

## Not run: 

# example: pooled IV analysis of employment
require(plm)
require(AER)
data(EmplUK)
EmplUK$lag.wage <- lag(EmplUK$wage)
emp.iv <- ivreg(emp ~ wage + log(capital+1) | output + lag.wage + log(capital+1), data = EmplUK)

# compute cluster-adjusted p-values
cluster.im.e <- cluster.im.ivreg(mod=emp.iv, dat=EmplUK, cluster = ~firm)


## End(Not run)