ivpack (version 1.2)

anderson.rubin.ci: anderson.rubin.ci

Description

Calculates the Anderson-Rubin confidence interval for the effect of a treatment (endogenous) variable using an instrumental variable.

Usage

anderson.rubin.ci(ivmodel, conflevel = 0.95)

Arguments

ivmodel

Instrumental variable (IV) model fit using ivreg. Make sure to use the option x=TRUE when fitting the ivreg model.

conflevel

Confidence level for confidence interval.

Value

• Anderson-Rubin confidence interval for effect of treatment.

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

ivreg

Examples

### This is the IV model in panel A, column (5) of Table 3 from Card, 1995, "Using 
### Geographic Variation in College Proximity to Esimate the Return from Schooling"
data(card.data)
ivmodel=ivreg(lwage ~ educ + exper + expersq + black + south + smsa + reg661 + reg662 + 
reg663 + reg664 + reg665+ reg666 + reg667 + reg668 + smsa66, ~ nearc4 + exper + 
expersq + black + south + smsa + reg661+ reg662 + reg663 + reg664 + reg665 + reg666 + 
reg667 + reg668 + smsa66, x=TRUE, data=card.data)
anderson.rubin.ci(ivmodel)