| svyivreg {survey} | R Documentation |
Two-stage least-squares for instrumental variable regression
Description
Estimates regressions with endogenous covariates using two-stage least squares. The function uses ivreg from the AER package for the main computations, and follows the syntax of that function.
Usage
svyivreg(formula, design, ...)
Arguments
formula |
formula specification(s) of the regression relationship and the instruments. See Details for details |
design |
A survey design object |
... |
For future expansion |
Details
Regressors and instruments for svyivreg are specified
in a formula with two parts on the right-hand side, e.g., y ~ x1
+ x2 | z1 + z2 + z3, where x1 and x2 are the regressors and
z1, z2, and z3 are the instruments. Note that exogenous
regressors have to be included as instruments for themselves. For
example, if there is one exogenous regressor ex and one
endogenous regressor en with instrument in, the appropriate
formula would be y ~ ex + en | ex + in. Equivalently, this can
be specified as y ~ ex + en | . - en + in, i.e., by providing an
update formula with a . in the second part of the formula.
Value
An object of class svyivreg
References
https://notstatschat.rbind.io/2019/07/16/adding-new-functions-to-the-survey-package/