para {ivmodel}

Parameter Estimation from Ivmodel

Description

para computes the estimation of several parameters for the ivmodel object.

Usage

para(ivmodel)

Arguments

ivmodel

ivmodel object.

Details

para computes the coefficients of 1st and 2nd stage regression (gamma and beta). It also computes the covariance matrix of the error term of 1st and 2nd stage. (sigmau, sigmav, and rho)

Value

para returns a list containing the following components

gamma

The coefficient of IV in first stage, calculated by linear regression

beta

The TSLS estimator of the exposure effect

sigmau

Standard deviation of potential outcome under control (structural error for y).

sigmav

Standard deviation of error from regressing treatment on instruments

rho

Correlation between u (potential outcome under control) and v (error from regressing treatment on instrument).

Author(s)

Yang Jiang, Hyunseung Kang, Dylan Small

See Also

See also ivmodel for details on the instrumental variables model.

Examples

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