ivmodel (version 1.9.1)

confint.ivmodel: Confidence Intervals for the Fitted Model in ivmodel Object

Description

This confint methods returns a matrix of two columns, each row represents a confident interval for different IV approaches, which include k-Class, AR (Anderson and Rubin 1949) and CLR (Moreira 2003) estimations.

Usage

# S3 method for ivmodel
confint(object,parm,level=NULL,...)

Value

A matrix, each row represents a confidence interval for different IV approaches.

Arguments

object

ivmodel object.

parm

Ignored for our code.

level

The confidence level.

...

Additional argument(s) for methods.

Author

Yag Jiang, Hyunseung Kang, and Dylan Small

References

Andrews, D. W. K., Moreira, M. J., and Stock, J. H. (2006). Optimal two-side invariant similar tests for instrumental variables regression. Econometrica 74, 715-752.
Moreira, M. J. (2003). A conditional likelihood ratio test for structural models. Econometrica 71, 1027-1048.
Fuller, W. (1977). Some properties of a modification of the limited information estimator. Econometrica, 45, 939-953.
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)
confint(foo)