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Questions tagged [ivreg]

9 questions
3
votes
2 answers

Why does ivreg function generate strange error

I'm trying to use instrument variables for the following three variables: pwtopen, inc, incsqr with the following three instruments: elhsfs, incf, incfsqr. polity is an exegenous variable. answer<- ivreg(sulfdm ~ polity + pwtopen + inc +…
DJF
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1 answer

How can I round metrics in modelsummary package?

I enjoy the option metrics="all" in modelsummary package that gives excellent summary statistics of instrument variable models (e.g. ivreg), namely the Wu-Hausman test. data(mtcars) library(ivreg) iv_model <- ivreg(mpg ~ qsec + cyl + drat | disp |…
Marco
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2 answers

IV Regression With Clustered Standard Errors

On R, I have panel dataset with observations for individual, year and variables y, x and z. I am trying to estimate an IV regression so that: $$y = \beta x + e$$ $$x = \alpha z + u$$ Is there a way to estimate the IV regression while clustering…
Student In Need
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2SLS standard errors with ivreg and plm in R

Could someone please confirm whether ivreg is calculating correct 2SLS standard errors by default or do I still have to manually correct them? I have an instrumental variable Z1 in my regression. library(ivreg) ivreg1 <- ivreg(log(Y) ~ log(X) + W1 +…
TFT
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1 answer

Insufficient Number of Instruments Error PLM IV on Unbalanced Panel

I am attempting to run the following IV regression on an unbalanced panel dataset. The variables TOTAL_E, TOURISM_5k_SUM and TOURISM_10K_SUM are endogenous, while HHSIZE2 and SEX are exogenous explanatory variables, and Z_b_100,tourism_5KM_ZSCORE…
Matt
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Ivreg and clustering in R

Struggling to get clustering to work with ivreg in R. Clustering is based on a variable with 255 unique values. I've been trying to translate this stata code to R ivreg2 X (Y = A?) iv1 iv2 iv3 if year==`year', cluster(clustervariable) Currently…
ThankfulStudent
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Model summary and diagnostics for instrumental variables in R

I run instrumental variable regression (2SLS) with ivreg package. library(ivreg) as_tibble(mtcars) model_iv <- ivreg(formula = mpg ~ disp + drat | drat + carb, data = mtcars) As many other…
Marco
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Cannot Save IV Regression Summary

I ran three IV regressions with the ivreg command. I am trying to save the results of the diagnostic tests so I can then add them to a stargazer table: summ.reg <- summary(iv_reg, vcov. = function(x) vcovHC(x, type="HC0"), diagnostics=T) The only…
Student In Need
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1 answer

Instrument variable three-part right side notation with ivreg in R

The vignette of ivreg https://cran.r-project.org/web/packages/ivreg/vignettes/ivreg.html says As listing exogenous variables in both parts on the right-hand side of the formula may become tedious if there are many of them, an additional convenience…
Marco
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