Panel IV with unit (and optional time) fixed effects via within-transform

Usage

morie_iv_panel(
  data,
  outcome,
  endogenous,
  instruments,
  unit,
  exogenous = NULL,
  time_fe = NULL,
  alpha = 0.05
)

Arguments

data: Data frame.
outcome: Name of the outcome column.
endogenous: Character vector of endogenous regressor names.
instruments: Character vector of excluded-instrument names.
unit: Cluster / unit identifier column.
exogenous: Optional character vector of exogenous covariate names.
time_fe: Optional time-FE column.
alpha: Significance level for confidence intervals.

Value

A named list with elements coefficients, std_errors, t_stats, p_values, ci_lower, ci_upper, variable_names, n_obs, method, details.

Examples

set.seed(1)
n_unit <- 30; n_time <- 5; n <- n_unit * n_time
df <- data.frame(
  unit = rep(seq_len(n_unit), each = n_time),
  z = rbinom(n, 1, 0.5))
df$d <- 0.5 * df$z + rnorm(n, sd = 0.5)
df$y <- 0.5 * df$d + rnorm(n, sd = 0.5)
res <- morie_iv_panel(df, "y", "d", "z", unit = "unit")
res$coefficients
#>  (Intercept)            d 
#> 8.738609e-19 2.146647e-01