-
Notifications
You must be signed in to change notification settings - Fork 20
New issue
Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.
By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.
Already on GitHub? Sign in to your account
Return first-stage in iv_robust #335
Comments
Thanks very much for this. I can see a nice argument for returning the reduced form and first stage regressions as additional entries in the iv_robust object. Might be cool if then we could have
or similar? |
@acoppock That looks great to me. |
@acoppock I would recommend just adding the first stage as a named element on the iv_robust_fit object, and not directing people to specify non-standard options on tidy / not also supporting summary. Here is what lfe does for tidy: > tidy(iv_felm)
# A tibble: 2 x 5
term estimate std.error statistic p.value
<chr> <dbl> <dbl> <dbl> <dbl>
1 log(rincome) 0.462 0.308 1.50 0.141
2 `log(rprice)(fit)` -1.20 0.171 -7.02 0.00000000940
> tidy(iv_felm$stage1)
# A tibble: 3 x 5
term estimate std.error statistic p.value
<chr> <dbl> <dbl> <dbl> <dbl>
1 log(rincome) -0.0290 0.147 -0.197 0.845
2 tdiff 0.0135 0.00305 4.41 0.0000652
3 rtax 0.00757 0.00105 7.22 0.00000000543
|
Thanks Neal, that's really helpful. Nice way to do both. |
can i upvote that issue? :-) thanks |
Any news on this? |
It's common to see the coefficients from the first-stage regression regression in a 2SLS regression table. For example, see discussion here.
estimatr::iv_robust
does not currently support this AFAIK. (Although it does return some overall diagnostic results from the first-stage if the "diagnostics = T" argument is used.) Would it be possible add the first-stage to the model return object?FWIW,
lfe::felm
supports this with a "stage1" return object. Here's a reprex:Created on 2019-11-07 by the reprex package (v0.3.0)
The text was updated successfully, but these errors were encountered: