riv-package {riv}

Robust instrumental variables estimator package.

Description

This package contains tools to find a robust instrumental variables estimator based on a high breakdown point S-estimator of location and covariance.

Details

riv(Y, Xend, Xex = NULL, Zinst, dummies = NULL, method = c('S-est', 'SD-est', 'MCD-est', 'classical'), nsamp = 500, bdp = 0.5)

finds a robust instrumental variables estimator using a high breakdown point S-estimator of location and covariance.

Author(s)

G.V. Cohen-Freue [e-mail]

D. Cubranic [e-mail]

with contributions from B. Kaufmann [e-mail] and R.H. Zamar [e-mail]

References

LOPUHAA,H.P. (1989). On the Relation between S-estimators and M-estimators of Multivariate Location and Covariance. Ann. Statist. 17 1662-1683.

COHEN-FREUE, G.V., ORTIZ-MOLINA, H., and ZAMAR, R.H. (2012) A Natural Robustification of the Ordinary Instrumental Variables Estimator. Submitted to Biometrics.

Examples

## load data earthquake: the first column is the response Y, the second
## the endogenous variable X and the third column is the instrument
## Zinst.
data(earthquake)
riv(earthquake[,1], earthquake[,2], NULL, earthquake[,3])