twosls {ivgets}R Documentation

2SLS estimator

Description

2SLS estimator that does not allow for weights, offset, other methods than 2SLS, and does not calculate influence statistics. Supposedly faster but returns little output.

Usage

twosls(formula, data)

Arguments

formula

A formula in the format y ~ x1 + x2 | z1 + z2.

data

A data frame with all necessary variables y, x, and z.

Value

twosls() returns a list with eight names elements: $coefficients stores the coefficient estimates of the second stage, $residuals the residuals of the structural equation (i.e. using X and not Xhat), $fitted.values the fitted values of the second stage, $n and $nobs the sample size, $k the number of regressors in the structural equation, $cov.unscaled the unscaled variance-covariance matrix, and $sigma the degrees-of-freedom adjusted equation standard error.

WARNING

The return value is given class ivreg::ivreg() but it is not a true "ivreg" object. This does not pose any problems for internal use but should not be used outside of its usage in its current form. The class assignment is likely to change in the future.


[Package ivgets version 0.1.2 Index]