[ritest] with [ivregress]

simulate-iv-ritest.ipynb

{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": 1,
   "metadata": {},
   "outputs": [],
   "source": [
    "clear"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "number of observations (_N) was 0, now 1,000\n"
     ]
    }
   ],
   "source": [
    "set obs 1000"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "metadata": {},
   "outputs": [],
   "source": [
    "gen instrument= rnormal() > 0"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "metadata": {},
   "outputs": [],
   "source": [
    "gen x = instrument + rnormal()*.25"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 5,
   "metadata": {},
   "outputs": [],
   "source": [
    "gen y = x + rnormal()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 6,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "\n",
      "First-stage regressions\n",
      "-----------------------\n",
      "\n",
      "                                                Number of obs     =      1,000\n",
      "                                                F(   1,    998)   =    4172.15\n",
      "                                                Prob > F          =     0.0000\n",
      "                                                R-squared         =     0.8070\n",
      "                                                Adj R-squared     =     0.8068\n",
      "                                                Root MSE          =     0.2404\n",
      "\n",
      "------------------------------------------------------------------------------\n",
      "           x |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]\n",
      "-------------+----------------------------------------------------------------\n",
      "  instrument |   .9832522   .0152225    64.59   0.000     .9533805    1.013124\n",
      "       _cons |    .013795   .0105134     1.31   0.190     -.006836    .0344259\n",
      "------------------------------------------------------------------------------\n",
      "\n",
      "\n",
      "Instrumental variables (2SLS) regression          Number of obs   =      1,000\n",
      "                                                  Wald chi2(1)    =     276.76\n",
      "                                                  Prob > chi2     =     0.0000\n",
      "                                                  R-squared       =     0.2506\n",
      "                                                  Root MSE        =     1.0148\n",
      "\n",
      "------------------------------------------------------------------------------\n",
      "           y |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]\n",
      "-------------+----------------------------------------------------------------\n",
      "           x |   1.087043    .065342    16.64   0.000      .958975    1.215111\n",
      "       _cons |  -.0475267       .045    -1.06   0.291    -.1357252    .0406717\n",
      "------------------------------------------------------------------------------\n",
      "Instrumented:  x\n",
      "Instruments:   instrument\n"
     ]
    }
   ],
   "source": [
    "ivregress 2sls y (x=instrument) , first"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 7,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "(running ivregress on estimation sample)\n",
      ". ivregress 2sls y (x=instrument)\n",
      "\n",
      "Instrumental variables (2SLS) regression          Number of obs   =      1,000\n",
      "                                                  Wald chi2(1)    =     276.76\n",
      "                                                  Prob > chi2     =     0.0000\n",
      "                                                  R-squared       =     0.2506\n",
      "                                                  Root MSE        =     1.0148\n",
      "\n",
      "------------------------------------------------------------------------------\n",
      "           y |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]\n",
      "-------------+----------------------------------------------------------------\n",
      "           x |   1.087043    .065342    16.64   0.000      .958975    1.215111\n",
      "       _cons |  -.0475267       .045    -1.06   0.291    -.1357252    .0406717\n",
      "------------------------------------------------------------------------------\n",
      "Instrumented:  x\n",
      "Instruments:   instrument\n",
      "\n",
      "Resampling replications (100)\n",
      "----+--- 1 ---+--- 2 ---+--- 3 ---+--- 4 ---+--- 5 \n",
      "..................................................    50\n",
      "..................................................   100\n",
      "\n",
      "      command:  ivregress 2sls y (x=instrument)\n",
      "        _pm_1:  _b[x]\n",
      "  res. var(s):  instrument\n",
      "   Resampling:  Permuting instrument\n",
      "Clust. var(s):  __000001\n",
      "     Clusters:  1000\n",
      "Strata var(s):  __000000\n",
      "       Strata:  1\n",
      "\n",
      "------------------------------------------------------------------------------\n",
      "T            |     T(obs)       c       n   p=c/n   SE(p) [95% Conf. Interval]\n",
      "-------------+----------------------------------------------------------------\n",
      "       _pm_1 |   1.087043      71     100  0.7100  0.0454   .610734   .7964258\n",
      "------------------------------------------------------------------------------\n",
      "Note: Confidence interval is with respect to p=c/n.\n",
      "Note: c = #{|T| >= |T(obs)|}\n"
     ]
    }
   ],
   "source": [
    "ritest instrument _b[x] , reps(100) : ivregress 2sls y (x=instrument)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  }
 ],
 "metadata": {
  "kernelspec": {
   "display_name": "Stata",
   "language": "stata",
   "name": "stata"
  },
  "language_info": {
   "file_extension": ".do",
   "mimetype": "text/x-stata",
   "name": "stata"
  }
 },
 "nbformat": 4,
 "nbformat_minor": 2
}