tsls.wfit {icsw} | R Documentation |
Fit instrumental variables model via two-stage least squares, with weights.
Description
Fits linear first- and second-stage models using weighted linear regression.
Usage
tsls.wfit(X, Y, Z, weights, ...)
Arguments
X |
Matrix of covariates and treatment, including constant if intercept is desired. |
Y |
Vector outcome. |
Z |
Matrix of covariates and instrument, including constant if intercept is desired. |
weights |
Observation weights. |
... |
Additional arguments to |
Value
A list with the second stage model fit,
as returned by lm.wfit
.
Author(s)
Peter Aronow <peter.aronow@yale.edu>, Dean Eckles <dean@deaneckles.com>, Kyle Peyton <kyle.peyton@yale.edu>
References
Peter M. Aronow and Allison Carnegie. (2013). Beyond LATE: Estimation of the average treatment effect with an instrumental variable. Political Analysis.
See Also
compliance.score
for calculating compliance scores used in example.
Examples
# Load example dataset, see help(FoxDebate) for details
data(FoxDebate)
# Estimate compliance scores with covariates, assuming (default)
# case of two-sided non-compliance.
covmat <- with(FoxDebate, cbind(partyid, pnintst, watchnat, educad, readnews, gender,
income, white))
cscoreout <- with(FoxDebate, compliance.score(D = watchpro, Z = conditn,
W = covmat))
# Extract vector of estimated compliance scores
cscore <- cscoreout$C.score
# Winsorising as described in Aronow and Carnegie (2013)
N <- length(FoxDebate[, "infopro"])
alpha <- 0.275
qcscore <- quantile(cscore, 1 / (N^alpha))
cscore[cscore < qcscore] <- qcscore
# IPW reweighting step Aronow and Carnegie (2013) use for missing data
Ymis <- is.na(FoxDebate[,"infopro"])
IPWweight <- 1 / (1 - predict(glm(Ymis ~ covmat, family = binomial(link = "probit")),
type = "response"))
IPWweight[Ymis] <- 0
# Compute LATE via 2SLS with IPW weights. This replicates
# Table 2 Column 1 in Aronow and Carnegie (2013)
outputTSLS <- with(FoxDebate, tsls.wfit(X = cbind(1, covmat, watchpro), Y = infopro,
Z = cbind(1, covmat, conditn), weights = IPWweight))
round(outputTSLS$coefficients, 2)
# Compute ATE via 2SLS with (IPW weights / compliance scores). This
# replicates Table 2 Column 2 in Aronow and Carnegie (2013)
outputICSW <- with(FoxDebate, tsls.wfit(cbind(1, watchpro, covmat), infopro,
cbind(1, conditn, covmat), w = IPWweight / cscore))
round(outputICSW$coefficients, 2)
[Package icsw version 1.0.0 Index]