Predict from an ivreg2 model

Usage

# S3 method for class 'ivreg2'
predict(object, newdata, se.fit = FALSE, na.action = stats::na.pass, ...)

Arguments

object: An object of class "ivreg2".
newdata: An optional data frame for prediction. If omitted, fitted values from the original data are returned. If the model uses time-series operators (see ts-operators) among the regressors, newdata must contain the time variable (and panel variable, if any) plus the history rows needed to compute the lags; rows whose lags are missing within newdata get NA predictions (matching Stata). Operators confined to the instrument part impose no such requirement — prediction scores only the regressors.
se.fit: Logical: if TRUE, return prediction standard errors alongside fitted values. Standard errors are computed as sqrt(diag(X V X')) where V = vcov(object), so they reflect the VCE used at estimation time (IID, robust, cluster, HAC, etc.). Not available after partialling (matching Stata's predict, stdp).
na.action: Function for handling NAs in newdata.
...: Additional arguments (ignored).

Value

When se.fit = FALSE (default), a numeric vector of predicted values. When se.fit = TRUE, a list with components fit (predicted values) and se.fit (standard errors of prediction).

Examples

fit <- ivreg2(lwage ~ exper | educ | nearc4, data = card)

# Fitted values on the estimation sample
head(predict(fit))
#>        1        2        3        4        5        6 
#> 5.420130 5.946853 6.730347 5.796737 6.730347 5.834925 

# Predictions with standard errors for new data
nd <- data.frame(exper = c(5, 10), educ = c(12, 16), nearc4 = c(0, 1))
predict(fit, newdata = nd, se.fit = TRUE)
#> $fit
#>        1        2 
#> 5.499142 7.106954 
#> 
#> $se.fit
#> [1] 0.1005463 0.1114562
#>

Predict from an ivreg2 model

Usage

Arguments

Value

See also

Examples