riv-package {riv} | R Documentation |
This package contains tools to find a robust instrumental variables estimator based on a high breakdown point S-estimator of location and covariance.
riv(Y, Xend, Xex = NULL, Zinst, dummies = NULL, method = c('S-est', 'SD-est', 'MCD-est', 'classical'), nsamp = 500, bdp = 0.5)
finds a robust instrumental variables estimator using a high breakdown point S-estimator of location and covariance.
G.V. Cohen-Freue gcohen@stat.ubc.ca
D. Cubranic cubranic@stat.ubc.ca
with contributions from B. Kaufmann beat.kaufmann@epfl.ch and R.H. Zamar ruben@stat.ubc.ca
LOPUHAA,H.P. (1989). On the Relation between S-estimators and M-estimators of Multivariate Location and Covariance. Ann. Statist. 17 1662-1683.
COHEN-FREUE, G.V., ORTIZ-MOLINA, H., and ZAMAR, R.H. (2012) A Natural Robustification of the Ordinary Instrumental Variables Estimator. Submitted to Biometrics.
## load data earthquake: the first column is the response Y, the second
## the endogenous variable X and the third column is the instrument
## Zinst.
data(earthquake)
riv(earthquake[,1], earthquake[,2], NULL, earthquake[,3])