Fuller {ivmodel}

Fuller-k Estimator

Description

Fuller computes the Fuller-k (Fuller 1977) estimate for the ivmodel object.

Usage

Fuller(ivmodel,
	      beta0 = 0, alpha = 0.05, b = 1,
	      manyweakSE = FALSE,heteroSE = FALSE,clusterID=NULL)

Arguments

ivmodel

ivmodel object.

beta0

Null value \beta_0 for testing null hypothesis H_0: \beta = \beta_0 in ivmodel. Default is 0.

alpha

The significance level for hypothesis testing. Default is 0.05.

b

Positive constant b in Fuller-k estimator. Default is 1.

manyweakSE

Should many weak instrument (and heteroscedastic-robust) asymptotics in Hansen, Hausman and Newey (2008) be used to compute standard errors?

heteroSE

Should heteroscedastic-robust standard errors be used? Default is FALSE.

clusterID

If cluster-robust standard errors are desired, provide a vector of length that's identical to the sample size. For example, if n = 6 and clusterID = c(1,1,1,2,2,2), there would be two clusters where the first cluster is formed by the first three observations and the second cluster is formed by the last three observations. clusterID can be numeric, character, or factor.

Details

Fuller computes the Fuller-k estimate for the instrumental variables model in ivmodel, specifically for the parameter beta. The computation uses KClass with the value of k = k_{LIML} - b/(n - L - p). It generates a point estimate, a standard error associated with the point estimate, a test statistic and a p value under the null hypothesis H_0: \beta = \beta_0 in ivmodel along with a 1-\alpha confidence interval.

Value

Fuller returns a list containing the following components

k

The k value used when computing the Fuller estimate with the k-Class estimator.

point.est

Point estimate of \beta.

std.err

Standard error of the estimate.

test.stat

The value of the test statistic for testing the null hypothesis H_0: \beta = \beta_0 in ivmodel.

p.value

The p value of the test under the null hypothesis H_0: \beta = \beta_0 in ivmodel.

ci

A matrix of one row by two columns specifying the confidence interval associated with the Fuller estimator.

Author(s)

Yang Jiang, Hyunseung Kang, Dylan Small

References

Fuller, W. (1977). Some properties of a modification of the limited information estimator. Econometrica, 45, 939-953.

See Also

See also ivmodel for details on the instrumental variables model. See also KClass for more information about the k-Class estimator.

Examples

data(card.data)
Y=card.data[,"lwage"]
D=card.data[,"educ"]
Z=card.data[,c("nearc4","nearc2")]
Xname=c("exper", "expersq", "black", "south", "smsa", "reg661",
        "reg662", "reg663", "reg664", "reg665", "reg666", "reg667",
		"reg668", "smsa66")
X=card.data[,Xname]
card.model2IV = ivmodel(Y=Y,D=D,Z=Z,X=X)
Fuller(card.model2IV,alpha=0.01)