r-econometrics
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Instrumental-Variables

  • Chapter 15: Instrumental Variables Estimation and Two Stage Least Squares

    library(AER)
library(wooldridge)

    Example 15.1

    data("mroz")

    OLS

    s.lm.1 <- summary(lm(lwage ~ educ, data = mroz))
s.lm.1
    ## 
## Call:
## lm(formula = lwage ~ educ, data = mroz)
## 
## Residuals:
##      Min       1Q   Median       3Q      Max 
## -3.10256 -0.31473  0.06434  0.40081  2.10029 
## 
## Coefficients:
##             Estimate Std. Error t value Pr(>|t|)    
## (Intercept)  -0.1852     0.1852  -1.000    0.318    
## educ          0.1086     0.0144   7.545 2.76e-13 ***
## ---
## Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
## 
## Residual standard error: 0.68 on 426 degrees of freedom
##   (325 observations deleted due to missingness)
## Multiple R-squared:  0.1179, Adjusted R-squared:  0.1158 
## F-statistic: 56.93 on 1 and 426 DF,  p-value: 2.761e-13

    fatheduc as IV for educ