如何在 AER::ivreg 中指定仪器？

Question

在我的回归中，我想用 lgrade 检测变量 PastS 并在 R 中运行以下代码：

modiv <- ivreg(servS ~ horS + size + henley + lpd + tri + turn + rail + 
                 enc20 + wheat | pastS | lgrade, data = regdata)

我收到错误：

length(formula)[2] %in% 1:2 is not TRUE

。显然，我的语法有些不对劲，但我找不到错误。你能帮忙吗？

Answer 1

AER::ivreg

希望您在一个分隔符

|

之后为每个回归量提供一个工具，所以而不是

> library(AER)
> ivreg(log(packs) ~ population + tax | log(rprice) | rtdiff, data=c1995)
Error in ivreg(log(packs) ~ population + tax | log(rprice) | rtdiff, data = c1995) : 
  length(formula)[2] %in% 1:2 is not TRUE

是

> ivreg(log(packs) ~ log(rprice) + population + tax | rtdiff + population + tax, data=c1995)

Call:
ivreg(formula = log(packs) ~ log(rprice) + population + tax |     rtdiff + population + tax, data = c1995)

Coefficients:
(Intercept)  log(rprice)   population          tax  
  7.241e+00   -5.089e-01   -7.907e-09   -4.202e-03  

您可以考虑使用

lfe::felm

，它更简洁，可能更符合您的直觉。

> library(lfe)
> felm(log(packs) ~ population + tax| 0 | (log(rprice) ~ rtdiff), data=c1995)
       (Intercept)         population                tax `log(rprice)(fit)` 
         7.241e+00         -7.907e-09         -4.202e-03         -5.089e-01 

---

数据：

> data("CigarettesSW", package="AER")
> CigarettesSW <- transform(CigarettesSW,
+                           rprice=price/cpi,
+                           rtdiff=(taxs - tax)/cpi
+ )
> c1995 <- subset(CigarettesSW, year == "1995")