IVregressTutorial.R

## ------------------------ ##
## An Easy IV regression    ##
## regression command for R ##
##                          ##
## Author: Tony Cookson     ##
## Commands: ivregress()    ##
##           sum.iv()       ##
## ------------------------ ##

## Read Data ##
library(foreign)
mkt.df = read.dta("C://R//mktshare.dta")

## Run IV Regression ##
library(car)  ## Uses linearHypothesis() from car()

## Define the IV object
mkt.iv = ivregress(Y~x1+x2+p, p~z1+z2, mkt.df)

## Options to summarize the IV object
sum.iv(mkt.iv)            ## Basic Output

sum.iv(mkt.iv, first=T)   ## Show first stage
                          ##-- like Stata's ", first"

sum.iv(mkt.iv, ftest=T)   ## F-test for relevance  
                          ##-- same as Stata's "estat first"

sum.iv(mkt.iv, overid=T)  ## Test for overidentifying restrictions
                          ##-- same as Stata's "estat overid"

sum.iv(mkt.iv, overid=T, first=T, ftest=T)