ivreg v0.5-0

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Two-Stage Least-Squares Regression with Diagnostics

Instrumental variable estimation for linear models by two-stage least-squares (2SLS) regression. The main ivreg() model-fitting function is designed to provide a workflow as similar as possible to standard lm() regression. A wide range of methods is provided for fitted ivreg model objects, including extensive functionality for computing and graphing regression diagnostics in addition to other standard model tools.

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Two-Stage Least-Squares Regression with Diagnostics

An implementation of instrumental variables regression using two-stage least-squares (2SLS) estimation, based on the ivreg() function previously in the AER package. In addition to standard regression functionality (parameter estimation, inference, predictions, etc.) the package provides various regression diagnostics, including hat values, deletion diagnostics such as studentized residuals and Cook’s distances; graphical diagnostics such as component-plus-residual plots and added-variable plots; and effect plots with partial residuals.

Instrumental variables regression:

library("ivreg")
ivreg(Q ~ P + D | D + F + A, data = Kmenta)

Via two-stage least squares (2SLS):

2SLS

With diagnostics:

Effects plot QQ plot Influence plot

Functions in ivreg

Name Description
Kmenta Partly Artificial Data on the U.S. Economy
SchoolingReturns U.S. Returns to Schooling Data
influence.ivreg Deletion and Other Diagnostic Methods for "ivreg" Objects
vcov.ivreg Methods for "ivreg" Objects
ivreg Instrumental-Variable Regression by 2SLS
CigaretteDemand U.S. Cigarette Demand Data
ivreg.fit Fitting Instrumental-Variable Regressions by 2SLS
No Results!

Vignettes of ivreg

Name
Diagnostics-for-2SLS-Regression.Rmd
ivreg.Rmd
ivreg.bib
No Results!

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Details

License GPL (>= 2)
Encoding UTF-8
LazyData true
VignetteBuilder knitr
BugReports https://github.com/john-d-fox/ivreg/issues/
URL https://john-d-fox.github.io/ivreg/
RoxygenNote 7.1.1
NeedsCompilation no
Packaged 2020-09-02 15:47:59 UTC; johnfox
Repository CRAN
Date/Publication 2020-09-03 06:42:24 UTC

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