Two-Stage Least-Squares Regression with Diagnostics
An implementation of instrumental variables regression using two-stage
least-squares (2SLS) estimation, based on the ivreg() function
previously in the AER package.
In addition to standard regression functionality (parameter estimation,
inference, predictions, etc.) the package provides various regression
diagnostics, including hat values, deletion diagnostics such as
studentized residuals and Cook’s distances; graphical diagnostics such
as component-plus-residual plots and added-variable plots; and effect
plots with partial residuals.
Instrumental variables regression:
library("ivreg")
ivreg(Q ~ P + D | D + F + A, data = Kmenta)
Via two-stage least squares (2SLS):
With diagnostics:
