robust.se

Description

Compute robust to heteroskedasticity standard errors for an instrumental variables analysis. These are the Huber-White standard errors for an instrumental variable analysis as described in White (1982).

Usage

robust.se(ivmodel)

Arguments

Value

Coefficient estimates, robust standard errors and t-tests based on the robust standard errors.

Author(s)

Dylan Small

References

White, H. (1982), Instrumental Variables Regression with Independent Observations, Econometrica, 50, 483-499.

See Also

ivreg

Examples

### This is the IV model in panel A, column (5) of Table 3 from Card, 1995, "Using 
### Geographic Variation in College Proximity to Esimate the Return from Schooling"
data(card.data)
ivmodel=ivreg(lwage ~ educ + exper + expersq + black + south + smsa + reg661 + reg662 + 
reg663 + reg664 + reg665+ reg666 + reg667 + reg668 + smsa66, ~ nearc4 + exper + 
expersq + black + south + smsa + reg661+ reg662 + reg663 + reg664 + reg665 + reg666 + 
reg667 + reg668 + smsa66, x=TRUE, data=card.data)
robust.se(ivmodel)

Results