Regresses the endogenous exposure on instruments + controls and reports the F-statistic for the joint significance of the INSTRUMENTS (controls partialed out), the partial R-squared, and the overall R-squared. Stock & Yogo (2005) recommend F > 10 as a rule of thumb to avoid weak-instrument bias.
Arguments
- data
A data frame.
- exposure
Character; name of the endogenous exposure column.
- instruments
Character vector; names of instrument columns. More instruments than exposures gives an over-identified model on which the Sargan test is applicable.
- covariates
Optional character vector of exogenous-control column names included in both first and second stage.