Gianfranco Lovison
2018-Mar-21 15:16 UTC
[R] Confidence intervals for the Instrumental Variable estimators of TWO causal effects
Dear all, I am using the Instrumental Variable approach to estimate the causal effects of TWO endogenous variables in a Mendelian Randomization study. As long as point estimation is concerned, I have no problem: both "ivreg" in library "AER" and "tsls" in library "sem" do the job perfectly. The problems begin when I try to obtain confidence intervals for these two causal effects. Of course, I can take the output from ivreg or tsls and compute the Wald-type confidence intervals using a Normal approximation. But Wald-type confidence interval are known to have poor coverage properties, and therefore I would like to switch to more robust confidence intervals, like those provided by inverting the Anderson-Rubin (AR) or the Conditional Ratio Likelihood (CLR) tests. The library "ivpack" has the command "anderson.rubin.ci" which implements AR, and the library "ivmodel" has the command "confint.ivmodel" which provides a rich choice of alternative confidence intervals (OLS, Fuller, LIML, TSLS, AR, CLR). But both assume that there is only ONE endogenous variable for which a confidence interval for the causal effect is needed. If there are TWO, or more, endogenous variables, they stop and give an error. Any idea of other R libraries which provide commands overtaking this limitation? Any suggestion really appreciated. Thanks in advance!! Gianfranco Lovison