ivreg

[grantmcdermott]

Fixes #922

Highlights:

• After some consideration, I've created separate ivreg and AER tidiers. The AER::ivreg classes should inherit from the new ivreg::ivreg ones anyway. But splitting things up also allowed/prompted me to add a tidy method for AER::tobit, which now works instead of just producing an error.
• I've added support for an interval argument in ivreg.augment. Following Change names of interval columns in augment() for clarity #925 (currently pending) I've gone with ".lower" and ".upper" for the column names, but we'll just wait to see how that shakes out. This will obviously trigger an error on the CI build until the modeltests glossary is updated.
• All these new ivreg tidiers are also able to support "vcov" arguments if passed through .... Personally, I think this is pretty cool, because (a) it allows users to adjust standard errors, etc. on the fly and (b) it makes it consistent with a major goal of the new ivreg package (i.e. integrated supported for libraries like lmtest and sandwhich).

Some examples adapted from the help docs:

library(broom)
library(ggplot2)
library(ivreg) ## >=0.5.1

m <- ivreg(log(packs) ~ log(rprice) + log(rincome) | salestax + log(rincome),
           data = CigaretteDemand)

tidy(m)
#> # A tibble: 3 x 7
#>   term         estimate std.error statistic      p.value
#>   <chr>           <dbl>     <dbl>     <dbl>        <dbl> 
#> 1 (Intercept)     9.43      1.36      6.94  0.0000000124
#> 2 log(rprice)    -1.14      0.359    -3.18  0.00266
#> 3 log(rincome)    0.215     0.269     0.799 0.429

# We can choose which component of the the 2SLS we want to tidy with the
# "component" argument. For example, to only tidy the instrument(s):
tidy(m, component = "instrument")
#> # A tibble: 1 x 5
#>   term     estimate std.error statistic      p.value
#>   <chr>       <dbl>     <dbl>     <dbl>        <dbl>
#> 1 salestax   0.0274   0.00408      6.72 0.0000000265

# Example of using "vcov" to specify an alternate error structure. Here we use 
# HC (i.e. robust) standard errors from the sandwich package.
tidy(m, vcov = sandwich::vcovHC)
#> # A tibble: 3 x 7
#>   term         estimate std.error statistic      p.value
#>   <chr>           <dbl>     <dbl>     <dbl>        <dbl>
#> 1 (Intercept)     9.43      1.35      6.97  0.0000000115
#> 2 log(rprice)    -1.14      0.403    -2.84  0.00682
#> 3 log(rincome)    0.215     0.332     0.646 0.521

# Example that combines "interval" and "vcov" arguments in augment. Useful for 
# visually inspecting the impact of different  standard errors on our model 
# predictions.
 augment(m, newdata = CigaretteDemand[1:10,], 
         interval = 'confidence', vcov = sandwich::vcovHC) %>%
   ggplot(aes(x=.rownames, y=.fitted, ymin=.lower, ymax=.upper)) + 
   geom_pointrange() +
   ylim(4, 5) +
   labs(title = "Predicted values; robust standard errors")

^{Created on 2020-09-07 by the reprex package (v0.3.0)}

Lastly, note that some of these tidiers rely on v. 0.5.1 of the parent ivreg package. As of the time of writing, this hasn't hit CRAN yet, though I expect it will fairly soon. I didn't want to add a "remotes" call to the dev version in the Description files, but let me know. I'm fine to have this PR sitting around for a bit if the upstream CRAN release is paramount. (Although, note that the existing ivreg tidiers will break in the meantime as documented here.)

[simonpcouch]

Thanks for making this happen! Feeling really positive about how these came together.

We're starting to think about reverse dependency checks and such for 0.7.1, so I'll hold off on merging until ivreg 1.5.1 and the version of AER that takes on ivreg as a dependency make it up on CRAN.

[vincentarelbundock]

This looks really great; thanks for all the efforts!

FWIW, one of the ivreg contributors recently wrote on twitter that it might take a while for AER to switch over. So it probably makes sense to include those new tidiers before then.

Also, since component="instruments" is already a convenience subseting-type of feature, I wonder if it would make sense to also allow both stages, or stage2+instruments, either with a new component name, or by setting several.ok=TRUE in match.arg.

Again, thanks for this. I look forward to using it!

[github-actions]

This pull request has been automatically closed due to inactivity.

[github-actions]

This pull request has been automatically locked. If you believe the issue addressed here persists, please file a new PR (with a reprex: https://reprex.tidyverse.org) and link to this one.