Also covered using Python and Stata
library(wooldridge)
library(stargazer)
library(AER)
library(Hmisc)lreg1 <- ivreg(hours ~ lwage + educ + age + kidslt6 + nwifeinc | educ + age + kidslt6 + nwifeinc + exper + expersq, data = mroz)
lreg2 <- ivreg(lwage ~ hours + educ + + exper + expersq | educ + age + kidslt6 + nwifeinc + exper + expersq, data = mroz)
stargazer(lreg1, lreg2, keep.stat=c("n"), no.space=TRUE, type="text")##
## =========================================
## Dependent variable:
## ----------------------------
## hours lwage
## (1) (2)
## -----------------------------------------
## lwage 1,639.556***
## (470.576)
## hours 0.0001
## (0.0003)
## educ -183.751*** 0.110***
## (59.100) (0.016)
## age -7.806
## (9.378)
## kidslt6 -198.154
## (182.929)
## nwifeinc -10.170
## (6.615)
## exper 0.035*
## (0.019)
## expersq -0.001
## (0.0005)
## Constant 2,225.662*** -0.656*
## (574.564) (0.338)
## -----------------------------------------
## Observations 428 428
## =========================================
## Note: *p<0.1; **p<0.05; ***p<0.01oreg1 <- lm(open ~ lpcinc + lland, data = openness)
oreg2 <- ivreg(inf ~ open + lpcinc | lland + lpcinc, data = openness)
stargazer(oreg1, oreg2, keep.stat=c("n", "rsq", "adj.rsq"), no.space=TRUE, type="text")##
## =========================================
## Dependent variable:
## ----------------------------
## open inf
## OLS instrumental
## variable
## (1) (2)
## -----------------------------------------
## open -0.337**
## (0.144)
## lpcinc 0.546 0.376
## (1.493) (2.015)
## lland -7.567***
## (0.814)
## Constant 117.085*** 26.899*
## (15.848) (15.401)
## -----------------------------------------
## Observations 114 114
## R2 0.449 0.031
## Adjusted R2 0.439 0.013
## =========================================
## Note: *p<0.1; **p<0.05; ***p<0.01preg1 <- ivreg(gc ~ gy + r3 | gy_1 + gc_1 + r3_1, data = consump)
u <- resid(preg1)
u1 <- Lag(u, 1)
preg2 <- lm(u ~ u1)
consump2<- subset(consump, !is.na(gy_1))
consump2 <- cbind(consump2, u)
preg3 <- ivreg(gc ~ gy + r3 + u1 | gy_1 + gc_1 + r3_1 + u1, data = consump2)
stargazer(preg1, preg2, preg3, keep.stat=c("n", "rsq", "adj.rsq"), no.space=TRUE, type="text")##
## ==============================================
## Dependent variable:
## ---------------------------------
## gc u gc
## instrumental OLS instrumental
## variable variable
## (1) (2) (3)
## ----------------------------------------------
## gy 0.586*** 0.986**
## (0.135) (0.439)
## r3 -0.0003 -0.0004
## (0.001) (0.001)
## u1 -0.105 -0.600
## (0.180) (0.593)
## Constant 0.008** 0.0001 -0.0004
## (0.003) (0.001) (0.010)
## ----------------------------------------------
## Observations 35 34 34
## R2 0.678 0.011 0.454
## Adjusted R2 0.658 -0.020 0.400
## ==============================================
## Note: *p<0.1; **p<0.05; ***p<0.01prreg1 <- ivreg(gcriv ~ gpris + gpolpc + gincpc + cunem + cblack + cmetro + cag0_14 + cag15_17 + cag18_24 + cag25_34 | gpolpc + gincpc + cunem + cblack + cmetro + cag0_14 + cag15_17 + cag18_24 + cag25_34 + final1 + final2, data=prison)
prreg2 <- lm(gcriv ~ gpris + gpolpc + gincpc + cunem + cblack + cmetro + cag0_14 + cag15_17 + cag18_24 + cag25_34, data=prison)
stargazer(prreg1, prreg2, keep.stat=c("n", "rsq", "adj.rsq"), no.space=TRUE, type="text")##
## =========================================
## Dependent variable:
## ----------------------------
## gcriv
## instrumental OLS
## variable
## (1) (2)
## -----------------------------------------
## gpris -0.967*** -0.168***
## (0.352) (0.048)
## gpolpc 0.073 0.094
## (0.070) (0.058)
## gincpc 0.926*** 0.960***
## (0.179) (0.151)
## cunem 0.730** 0.407
## (0.358) (0.279)
## cblack -0.015 -0.011
## (0.042) (0.035)
## cmetro -1.151 -0.392
## (1.273) (1.042)
## cag0_14 3.170 4.293**
## (2.304) (1.908)
## cag15_17 6.661 12.898***
## (4.366) (2.899)
## cag18_24 -0.919 1.815
## (2.668) (2.025)
## cag25_34 -4.369** -2.562
## (2.044) (1.599)
## Constant 0.036 -0.005
## (0.024) (0.014)
## -----------------------------------------
## Observations 714 714
## R2 -0.245 0.106
## Adjusted R2 -0.262 0.093
## =========================================
## Note: *p<0.1; **p<0.05; ***p<0.01