ivmodel (version 1.9.1)

ARsens.test: Sensitivity Analysis for the Anderson-Rubin (1949) Test

Description

ARsens.test computes sensitivity analysis with possibly invalid instruments, which is an extension of the Anderson-Rubin (1949) test. The formula for sensitivity analysis is derived in Jiang, Small and Zhang (2015).

Usage

ARsens.test(ivmodel, beta0 = 0, alpha = 0.05, deltarange = NULL)

Value

ARsens.test returns a list containing the following components

ncFstat

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

ncp

non-central parameter 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

deltarange

The inputted range of sensitivity allowance.

Arguments

ivmodel

ivmodel object.

beta0

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

alpha

The significance level for hypothesis testing. Default is 0.05.

deltarange

Range of sensitivity allowance. A numeric vector of length 2.

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.
Wang, X., Jiang, Y., Small, D. and Zhang, N. (2017), Sensitivity analysis and power for instrumental variable studies, (under review of Biometrics).

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)
ARsens.test(foo, deltarange=c(-0.03, 0.03))