ivmodel: An R Package for Inference and Sensitivity Analysis of Instrumental Variables Models with One Endogenous Variable

TL;DR

The ivmodel R package offers comprehensive tools for inference, robustness, and sensitivity analysis in instrumental variables models with one endogenous variable, facilitating more reliable causal inference.

Contribution

It introduces a versatile R package implementing k-class estimators, robust confidence intervals, power calculations, and sensitivity analysis for instrumental variables with one endogenous variable.

Findings

Demonstrated on Card (1995) data analyzing education's effect on earnings.

Provides robust confidence intervals resistant to weak instruments.

Includes methods for sensitivity analysis of instrumental variable assumptions.

Abstract

We present a comprehensive R software ivmodel for analyzing instrumental variables with one endogenous variable. The package implements a general class of estimators called k- class estimators and two confidence intervals that are fully robust to weak instruments. The package also provides power formulas for various test statistics in instrumental variables. Finally, the package contains methods for sensitivity analysis to examine the sensitivity of the inference to instrumental variables assumptions. We demonstrate the software on the data set from Card (1995), looking at the causal effect of levels of education on log earnings where the instrument is proximity to a four-year college.