stock_yogo_reccomender {cragg} | R Documentation |
Recommend a critical value for the Cragg-Donald test given a maximum allowable bias/size distortion
Description
Recommend a critical value for the Cragg-Donald test given a maximum allowable bias/size distortion
Usage
stock_yogo_reccomender(K, N, B, size_bias)
Arguments
K |
(int). The number of instruments. |
N |
(int). The number of endogenous variables (treatments) |
B |
One of [.05, .1, .15, .2, .25, .3]. The maximum size of allowable bias relative to the normal OLS or the maximum Wald test size distortion. |
size_bias |
Either "bias" or "size". Whether to use a critical value based on the maximum allowable bias relative to regular OLS (bias), or maximum Wald test size distortion. |
Value
(float) the recommended critical value.
Examples
#To reccomend a critical value for a test with 2 endogenous variables
#and four instruments based on a 5% maximum allowable bias relative to OLS
stock_yogo_reccomender(4,2,.05,"bias")
[Package cragg version 0.0.1 Index]