IV2SLS estimator: Two-Stage Least Squares with genetic instrument

Uses the genetic instrument G to instrument for the exposure X, controlling for the negative-control W and any additional covariates. Requires AER.

Usage

fit_iv2sls(y, X, g, w, covars = NULL, min_f = 10)

Arguments

y

Numeric outcome vector (length n).

X

Numeric exposure vector (length n).

g

Numeric instrument vector (length n).

w

Numeric negative-control vector (length n).

covars

Optional data frame of additional covariates (n rows).

min_f

Minimum acceptable partial F-statistic for the excluded instrument. Default 10.

Value

Named list: beta, se, pvalue.

Details

A weak-instrument check is applied using the partial F-statistic for the excluded instrument G (testing G conditional on W and covariates in the first stage), following Stock & Yogo (2005). If the partial F is below min_f, the function returns NA.

Examples

set.seed(1)
dat <- generate_toy_data(n = 200, seed = 1)
fit_iv2sls(dat$Y[, 1], dat$X, dat$G[, 1], dat$W[, 1])
#> $beta
#> [1] 0.2796918
#> 
#> $se
#> [1] 0.03449663
#> 
#> $pvalue
#> [1] 5.381187e-14
#>