Title: | Residual Prediction Test for Well-Specification of Instrumental Variable Models |
Version: | 1.0.0 |
Description: | A test for the well-specification of the linear instrumental variable model. The test is based on trying to predict the residuals of a two-stage least-squares regression using a random forest. Details can be found in Scheidegger, Londschien and Bühlmann (2025) "A residual prediction test for the well-specification of linear instrumental variable models" <doi:10.48550/arXiv.2506.12771>. |
URL: | https://github.com/cyrillsch/RPIV |
License: | GPL (≥ 3) |
Encoding: | UTF-8 |
RoxygenNote: | 7.3.3 |
Imports: | ranger, stats |
Suggests: | testthat (≥ 3.0.0) |
Config/testthat/edition: | 3 |
NeedsCompilation: | no |
Packaged: | 2025-10-14 12:07:48 UTC; scyrill |
Author: | Cyrill Scheidegger
|
Maintainer: | Cyrill Scheidegger <cyrill.scheidegger@stat.math.ethz.ch> |
Repository: | CRAN |
Date/Publication: | 2025-10-19 13:10:07 UTC |
Residual Prediction Test for Linear Instrumental Variable Models
Description
Performs a hypothesis test for the well-specification of linear instrumental variable (IV) model.
More specifically, it tests the null-hypothesis
H_0: \exists\beta\in \mathbb R^p \text{ s.t. } \mathbb E[Y-X^T\beta|Z] = 0.
It uses sample splitting and a random forest to try to predict the two-stage
least-squares residuals from the instruments Z
.
Usage
RPIV_test(
Y,
X,
C = NULL,
Z,
frac_A = NULL,
gamma = 0.05,
variance_estimator = "heteroskedastic",
clustering = NULL,
upper_clip_quantile = 0.8,
regr_par = list(),
fit_intercept = TRUE
)
Arguments
Y |
A numeric vector. The outcome variable. |
X |
A numeric matrix or vector. The endogenous explanatory variables. |
C |
A numeric matrix, vector or |
Z |
A numeric matrix or vector. The instruments. |
frac_A |
A numeric scalar between 0 and 1 or |
gamma |
A non-negative scalar. If the variance estimator is less than gamma times the noise level (as estimated as by the mean of the squared residuals), gamma times the noise level is used as variance estimator. |
variance_estimator |
Character string or vector. One or more of |
clustering |
A vector of cluster identifiers or |
upper_clip_quantile |
A scalar between 0 and 1. The estimated weight-function will be clipped at the corresponding quantile of the random forest predictions on the auxiliary sample. Use 0 to use the sign of the predictions. Default is 0.8. |
regr_par |
A list of parameters passed to the random forest regression model. Supports |
fit_intercept |
Logical. Should an intercept be included in the model? Default is |
Details
The RPIV test splits the sample into an auxiliary and a main sample. On the auxiliary sample, a random forest is used to predict the two-stage least squares residuals from the instruments. The test statistic is the scalar product of the two-stage least-squares residuals with a clipped and rescaled version of the learned function evaluated on the main sample divided by an estimator of its standard deviation.
If clustering
is supplied, sample splitting is done at cluster level (also for variance_estimator
"homoskedastic"
or "heteroskedastic"
).
Value
If a single variance estimator is used, returns a list with:
- p_value
p-value of the residual prediction test.
- test_statistic
The value of the test statistic.
- var_fraction
The estimated variance fraction, i.e., variance estimator divided by noise level estmate.
- T_null
The value of the initial test statistic. If var_fraction >= gamma, it is equal to test_statistic, otherwise, it has larger absolute value.
- variance_estimator
The variance estimator used.
If multiple estimators are supplied, returns a named list of such results for each estimator.
References
Cyrill Scheidegger, Malte Londschien and Peter Bühlmann. A residual prediction test for the well-specification of linear instrumental variable models. Preprint, doi:10.48550/arXiv.2506.12771, 2025.
Examples
set.seed(1)
n <- 100
Z <- rnorm(n)
H <- rnorm(n)
C <- rnorm(n)
X <- Z + rnorm(n) + H
Y1 <- X - C - H + rnorm(n)
Y2 <- X - C - H + rnorm(n) + Z^2
RPIV_test(Y1, X, C, Z)
RPIV_test(Y2, X, C, Z)