ivmodel (version 1.9.1)

AR.test: Anderson-Rubin (1949) Test

Description

AR.test computes the Anderson-Rubin (1949) test for the ivmodel object as well as the associated confidence interval.

Usage

AR.test(ivmodel, beta0 = 0, alpha = 0.05)

Value

AR.test returns a list containing the following components

Fstat

The value of the test statistic for testing the null hypothesis \(H_0: \beta = \beta_0\) in ivmodel

df

degree of freedom for the test statistic

p.value

The p value of the test under the null hypothesis \(H_0: \beta = \beta_0\) in ivmodel

ci

A matrix of two columns, each row contains an interval associated with the confidence interval

ci.info

A human-readable string describing the confidence interval

Arguments

ivmodel

ivmodel object

beta0

Null value \(\beta_0\) for testing null hypothesis \(H_0: \beta = \beta_0\) in ivmodel. Default is 0.

alpha

The significance level for hypothesis testing. Default is 0.05.

Author

Yang Jiang, Hyunseung Kang, and Dylan Small

References

Anderson, T.W. and Rubin, H. (1949), Estimation of the parameters of a single equation in a complete system of stochastic equations, Annals of Mathematical Statistics, 20, 46-63.

See Also

See also ivmodel for details on the instrumental variables model.

Examples

data(card.data)
Y=card.data[,"lwage"]
D=card.data[,"educ"]
Z=card.data[,"nearc4"]
Xname=c("exper", "expersq", "black", "south", "smsa", "reg661", 
        "reg662", "reg663", "reg664", "reg665", "reg666", "reg667", 
		"reg668", "smsa66")
X=card.data[,Xname]
foo = ivmodel(Y=Y,D=D,Z=Z,X=X)
AR.test(foo)