Simulated Dataset with One Endogenous Continuous Regressor

A dataset with two exogenous regressors, X1,X2, one endogenous, continuous regressor P, and the dependent variable y. The true parameter values for the coefficients are: b0 = 2, b1 = 1.5, b2 = 3 and the coefficient of the endogenous regressor, P, is equal to a1 = -1.

data("dataHetIV")

Format

A data frame with 2500 observations on 4 variables:

y

a numeric vector representing the dependent variable.

X1

a numeric vector, normally distributed and exogenous.

X2

a numeric vector, normally distributed and exogenous.

P

a numeric vector, continuous and endogenous regressor, normally distributed.

Author

Raluca Gui raluca.gui@business.uzh.ch