ivDiag {ivgets}

User diagnostics for getsFun() and isat()

Description

ivDiag provides several diagnostic tests for 2SLS models that can be used during model selection. Currently, a weak instrument F-test of the first stage(s) and the Sargan test of overidentifying restrictions on the validity of the instruments are implemented.

Usage

ivDiag(x, weak = FALSE, overid = FALSE)

Arguments

x

A list containing the estimation results of the 2SLS model. Must contain an entry $diag that contains the diagnostics provided by the ivreg::ivreg() command.

weak

A logical value whether to conduct weak instrument tests.

overid

A logical value whether to conduct the Sargan test of overidentifying restrictions.

Details

The resulting matrix also has an attribute named "is.reject.bad", which is a logical vector of length m. Each entry records whether a rejection of the test means that the diagnostics have failed or vice versa. The first entry refers to the first row, the second entry to the second row etc. However, this attribute is not used in the following estimations. Instead, the decision rule is specified inside the user.fun argument of gets::diagnostics(), which allows for a named entry $is.reject.bad.

Value

Returns a matrix with three columns named "statistic", "df", and "p-value" and m rows. Each row records these results for one of the tests, so the number of rows varies by the arguments specified and the model (e.g. how many first stages equations there are).