Simulated Dataset with One Endogenous Regressor

A dataset with two exogenous regressors, X1,X2, and one endogenous, continuous regressor P. An intercept and a dependent variable, y, are also included. 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("dataHigherMoments")

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

Examples

data("dataHigherMoments")
# to recover the parameters,
#   on average over many simulations
higherMomentsIV(formula = y ~ X1 + X2 + P|P|IIV(iiv=yp),
               data=dataHigherMoments)
#> The following internal instruments were built: IIV(iiv=yp).
#> Fitting an instrumental variable regression with model y ~ X1 + X2 + P|X1 + X2 + IIV(iiv=yp).
#> 
#> Call:
#> higherMomentsIV(formula = y ~ X1 + X2 + P | P | IIV(iiv = yp),     data = dataHigherMoments)
#> 
#> Coefficients:
#> (Intercept)           X1           X2            P  
#>       1.619        1.586        3.062       -1.014  
#>