ExampleCodeIV - Revision history

Admin at 18:32, 3 December 2012

2012-12-03T18:32:22Z

Admin at 18:27, 3 December 2012

2012-12-03T18:27:40Z

Admin at 18:10, 3 December 2012

2012-12-03T18:10:26Z

Admin at 18:08, 3 December 2012

2012-12-03T18:08:24Z

Admin at 18:04, 3 December 2012

2012-12-03T18:04:53Z

Admin: /* IVest.m */

2012-12-03T18:01:26Z

‎IVest.m

Admin: /* IVest.m */

2012-12-03T18:01:14Z

‎IVest.m

Admin: Created page with "Below you can find functions that, inter alia, deliver an IV estimate, perform a Hausmann test on endogeneity and a Sargan test on instrument validity. == IVest.m == This is..."

2012-12-03T17:59:59Z

Created page with "Below you can find functions that, inter alia, deliver an IV estimate, perform a Hausmann test on endogeneity and a Sargan test on instrument validity. == IVest.m == This is..."

New page

Below you can find functions that, inter alia, deliver an IV estimate, perform a Hausmann test on endogeneity and a Sargan test on instrument validity.

== IVest.m ==

This is the function that delivers IV parameter estimates. It will work for exactly and over-identified cases

@@ Line 33: / Line 33: @@
 </source>
-== Hausmann endogeneity test ==
+== <div id="Hausmann">Hausmann endogeneity test ==
 This function can be used to perform to test whether a set of explanatory variables is endogenous or not.
@@ Line 65: / Line 65: @@
 </source>
-== Sargan test on instrument validity ==
+== <div id="Sargan">Sargan test on instrument validity ==
 This is used to check whether a chosen set of instruments are indeed exogenous. This test is only applicable for over-identified cases.

@@ Line 1: / Line 1: @@
 Below you can find functions that, inter alia, deliver an IV estimate, perform a Hausmann test on endogeneity and a Sargan test on instrument validity. More details on how to use these functions is provided in [[IV]].
-== IVest.m ==
+== <div id="IVest">IVest.m ==
 This is the function that delivers IV parameter estimates. It will work for exactly and over-identified cases.

@@ Line 6: / Line 6: @@
 <source>
-function [biv,bse,r2] = IVest(y,x,z);
+function [biv,bse,res,r2] = IVest(y,x,z);
 % This function performs an IV estimation
 % input:    y, vector with dependent variable
@@ Line 14: / Line 14: @@
 % output:   biv, estimated parameters using IV
 %           bse, standard errors for biv
 %           r2, Rsquared

@@ Line 1: / Line 1: @@
-Below you can find functions that, inter alia, deliver an IV estimate, perform a Hausmann test on endogeneity and a Sargan test on instrument validity. More details on how to use these functions is provided in [IV].
+Below you can find functions that, inter alia, deliver an IV estimate, perform a Hausmann test on endogeneity and a Sargan test on instrument validity. More details on how to use these functions is provided in [[IV]].
 == IVest.m ==
@@ Line 62: / Line 62: @@
 teststat = size(res,1)*r2;
 pval = 1 - chi2cdf(teststat,size(x2,2));
-<\source>
+</source>
 == Sargan test on instrument validity ==

@@ Line 1: / Line 1: @@
-Below you can find functions that, inter alia, deliver an IV estimate, perform a Hausmann test on endogeneity and a Sargan test on instrument validity.
+Below you can find functions that, inter alia, deliver an IV estimate, perform a Hausmann test on endogeneity and a Sargan test on instrument validity. More details on how to use these functions is provided in [IV].
 == IVest.m ==
-This is the function that delivers IV parameter estimates. It will work for exactly and over-identified cases
+This is the function that delivers IV parameter estimates. It will work for exactly and over-identified cases.
 <source>
@@ Line 31: / Line 31: @@
 end
 </source>

← Older revision		Revision as of 18:01, 3 December 2012
Line 4:		Line 4:

	This is the function that delivers IV parameter estimates. It will work for exactly and over-identified cases		This is the function that delivers IV parameter estimates. It will work for exactly and over-identified cases
		+
		+	<source>
		+	function [biv,bse,r2] = IVest(y,x,z);
		+	% This function performs an IV estimation
		+	% input: y, vector with dependent variable
		+	% x, matrix with explanatory variable (include vector of ones if
		+	% you want constant
		+	% z, matrix with instrumental variables (at least as many cols as x)
		+	% output: biv, estimated parameters using IV
		+	% bse, standard errors for biv
		+	% r2, Rsquared
		+
		+	[n,kx] = size(x); % sample size - n, number of explan vars (incl constant) - kx
		+	[n,kz] = size(z); % sample size - n, number of instrumental vars - kz
		+	pz = zinv(z'z)*z'; % Projection matrix
		+	xpzxi = inv(x'pzx); % this is also (Xhat'Xhat)^(-1)
		+
		+	biv = xpzxix'pz*y; % IV estimate
		+	res = y - x*biv; % IV residuals
		+	ssq = res'*res/(n-kx); % Sample variance for IV residuals
		+	s = sqrt(ssq); % Sample Standard deviation for IV res
		+	bse = ssq*xpzxi; % Variance covariance matrix for IV estimates
		+	bse = sqrt(diag(bse)); % Extract diagonal and take square root -> standard errors for IV estimators
		+	ym = y - mean(y);
		+	r2 = 1 - (res'res)/(ym'ym);
		+	end
		+	<\source>