stock_yogo_test {cragg} | R Documentation |
Perform the Stock and Yogo test for weak instruments
stock_yogo_test(X, D, Z, data, B = 0.05, size_bias = "bias")
X |
(formula). A one-sided formula of control variables. |
D |
(formula). A one-sided formula of endogenous variables (treatments) |
Z |
(formula). A one-sided formula of instruments |
data |
(dataframe). An optional dataframe, list, or environment containing the variables used in the model. As with many of the base R functions, if the variables are not found here, they may be searched for in the environment cragg_donald() was called. |
B |
One of [.05, .1, .15, .2, .25, .3]. The maximum size of allowable bias relative |
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 (size). |
(sy_test) the results of the stock and yogo test.
#Perform the Stock and Yogo test on a model that instruments
#Sepal Width on Petal Length, Petal Width, and Species, while controlling
#for Sepal.Length (a toy example).
stock_yogo_test(X=~Sepal.Length, D=~Sepal.Width,
Z=~Petal.Length + Petal.Width + Species,
size_bias="bias",data = iris)