Message-ID: <20121129162746.5e07e0825652ff0ac075045f@inbox.com>
Date: 2012-11-29T22:27:46Z
From: Ranjan Maitra
Subject: instrumental variables regression using ivreg (AER) or tsls (sem)
Dear friends,
I am trying to understand and implement instrumental variables
regression using R.
I found a small (simple) example here which purportedly illustrates the
mechanics (using 2-stage least-squares):
http://www.r-bloggers.com/a-simple-instrumental-variables-problem/
Basically, here are the R commands (reproducible example) from that
site:
# ------ begin R
library(AER)
library(lmtest)
data("CollegeDistance")
cd.d<-CollegeDistance
simple.ed.1s<- lm(education ~ distance,data=cd.d)
cd.d$ed.pred<- predict(simple.ed.1s)
simple.ed.2s<- lm(wage ~ urban + gender + ethnicity + unemp + ed.pred ,
data=cd.d)
# ------ end R
This yields the following summary:
summary(simple.ed.2s)
Call:
lm(formula = wage ~ urban + gender + ethnicity + unemp + ed.pred,
data = cd.d)
Residuals:
Min 1Q Median 3Q Max
-3.1692 -0.8294 0.1502 0.8482 3.9537
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) -2.053604 1.675314 -1.226 0.2203
urbanyes -0.013588 0.046403 -0.293 0.7697
genderfemale -0.086700 0.036909 -2.349 0.0189 *
ethnicityafam -0.566524 0.051686 -10.961 < 2e-16 ***
ethnicityhispanic -0.529088 0.048429 -10.925 < 2e-16 ***
unemp 0.145806 0.006969 20.922 < 2e-16 ***
ed.pred 0.774340 0.120372 6.433 1.38e-10 ***
---
Signif. codes: 0 ?***? 0.001 ?**? 0.01 ?*? 0.05 ?.? 0.1 ? ? 1
Residual standard error: 1.263 on 4732 degrees of freedom
Multiple R-squared: 0.1175, Adjusted R-squared: 0.1163
F-statistic: 105 on 6 and 4732 DF, p-value: < 2.2e-16
Question: Assuming that the above illustration is correct, I was
wondering how I could mimic these calculations using the ivreg () in
AER or tsls () in sem?
Any suggestions?
Many thanks in advance, and best wishes,
Ranjan
--
Important Notice: This mailbox is ignored: e-mails are set to be
deleted on receipt. For those needing to send personal or professional
e-mail, please use appropriate addresses.
____________________________________________________________
FREE ONLINE PHOTOSHARING - Share your photos online with your friends and family!
Visit http://www.inbox.com/photosharing to find out more!