Skip to contents

Transform an IV regression into its control function equivalent

idid_to_cf.Rd

Takes an instrumental variables (IV) regression estimated with either fixest::feols or AER::ivreg and refits it as a control function (CF) specification.

Usage

idid_to_cf(reg, ...)

# S3 method for class 'fixest'
idid_to_cf(reg, ...)

# S3 method for class 'ivreg'
idid_to_cf(reg, ...)

# Default S3 method
idid_to_cf(reg, ...)

Arguments

reg

An IV regression object. Currently supported classes are fixest::fixest and AER::ivreg.

...

Additional arguments passed to stats::update when refitting the model.

Value

A model object of the same class as reg (fixest or ivreg), representing the equivalent control-function specification. The returned model uses the same data, controls, and variance specification as the original regression.

Details

The resulting model reproduces the second-stage regression where the residuals from each first-stage (for endogenous regressors) are added as additional controls. These residuals are appended to the data as <var>_first and added as regressors in the updated model.

This function allows to explore the identifying variation of IV estimates using the other functions of the ididvar package.

The function ensures that covariance options (e.g., clustering, weights) and other model arguments are preserved from the original regression where possible. If none are provided, the standard errors will be incorrect.

Methods (by class)

  • idid_to_cf(fixest): Method for fixest (feols) objects

  • idid_to_cf(ivreg): Method for ivreg objects

  • idid_to_cf(default): Default method (unsupported model types)

See also

fixest::feols, AER::ivreg, stats::update

Examples

if (FALSE) { # \dontrun{
library(fixest)
library(AER)

# feols example
data(trade)
reg_feols <- feols(Euros ~ log(dist) | log(dist) ~ log(air) + log(dist), data = trade)
reg_feols_cf <- idid_to_cf(reg_feols)

# ivreg example
data("CigarettesSW")
reg_ivreg <- ivreg(log(packs) ~ log(rprice) + log(rincome) | log(rtax) + log(rincome),
                data = CigarettesSW)
reg_ivreg_cf <- idid_to_cf(reg_ivreg)
} # }