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! ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
