Artificial Weak Instrument Data

Description

Artificial data set to illustrate the problem of weak instruments.

Usage

data("WeakInstrument")

Format

A data frame containing 200 observations on 3 variables.

y

dependent variable.

x

regressor variable.

z

instrument variable.

Source

Online complements to Stock and Watson (2007).

References

Stock, J.H. and Watson, M.W. (2007). Introduction to Econometrics, 2nd ed. Boston: Addison Wesley.

See Also

StockWatson2007

Examples

data("WeakInstrument")
fm <- ivreg(y ~ x | z, data = WeakInstrument)
summary(fm)