Hansen J test of overidentifying restrictions (robust)

Hansen J test of overidentifying restrictions (robust)

Usage

morie_iv_hansen_j(data, outcome, endogenous, instruments, exogenous = NULL)

Arguments

data

A data.frame (or tibble) holding the outcome, endogenous regressors, instruments, and any exogenous controls.

outcome

Character; column name of the response variable.

endogenous

Character vector; column names of the endogenous regressors.

instruments

Character vector; column names of the instrumental variables.

exogenous

Optional character vector of additional exogenous regressors included in both the structural equation and the first stage. NULL (default) for a just-identified design.

Value

A named list (see Details).

Examples

set.seed(1)
n <- 400
z1 <- rbinom(n, 1, 0.5); z2 <- rnorm(n); u <- rnorm(n)
d <- 0.5 * z1 + 0.4 * z2 + 0.3 * u + rnorm(n, sd = 0.3)
y <- 0.5 * d + 0.4 * u + rnorm(n, sd = 0.5)
df <- data.frame(y, d, z1, z2)
out <- morie_iv_hansen_j(df, "y", "d", c("z1", "z2"))
out$name
#> [1] "Hansen J (rmorie native)"