RPIV
Residual Prediction Tests for Well-Specification of Instrumental Variable Models
Description
Two tests for the well-specification of the linear instrumental variable model. The first test is based on trying to predict the residuals of a two-stage least-squares regression using a random forest. The second test is robust to weak-identification and based on trying to predict the residuals for a particular candidate parameter and can also be used to construct confidence sets with an Anderson-Rubin-type inversion. Details can be found in Scheidegger, Londschien and Bühlmann (2025) "Machine-learning-powered specification testing in linear instrumental variable models" <doi:10.48550/arXiv.2506.12771>.
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| r-release-windows-x86_64 | OK |