bilinear {endogeneity} | R Documentation |
Estimate two linear models with bivariate normally distributed error terms. This command still works if the first-stage dependent variable is not a regressor in the second stage. The identification of a recursive bilinear model requires an instrument for the first dependent variable.
bilinear(
form1,
form2,
data = NULL,
par = NULL,
method = "BFGS",
verbose = 0,
accu = 10000
)
form1 |
Formula for the first linear model |
form2 |
Formula for the second linear model |
data |
Input data, a data frame |
par |
Starting values for estimates |
method |
Optimization algorithm. Default is BFGS |
verbose |
Level of output during estimation. Lowest is 0. |
accu |
1e12 for low accuracy; 1e7 for moderate accuracy; 10.0 for extremely high accuracy. See optim |
A list containing the results of the estimated model
Peng, Jing. (2022) Identification of Causal Mechanisms from Randomized Experiments: A Framework for Endogenous Mediation Analysis. Information Systems Research (Forthcoming), Available at SSRN: https://ssrn.com/abstract=3494856
Other endogeneity:
biprobit_latent()
,
biprobit_partial()
,
biprobit()
,
pln_linear()
,
pln_probit()
,
probit_linear_latent()
,
probit_linear_partial()
,
probit_linear()
library(MASS)
N = 2000
rho = -0.5
set.seed(1)
x = rbinom(N, 1, 0.5)
z = rnorm(N)
e = mvrnorm(N, mu=c(0,0), Sigma=matrix(c(1,rho,rho,1), nrow=2))
e1 = e[,1]
e2 = e[,2]
y1 = -1 + x + z + e1
y2 = -1 + x + y1 + e2
est = bilinear(y1~x+z, y2~x+y1)
est$estimates