Doubly robust IV GMM model — gmm_model_dr

Creates the scalar local IV model used by the GMM IV simulation. The observation-level moment is $$ (Z_j - \pi_j(X))\{Y - \mu_Y(X) - (D - \mu_D(X))\theta\}, $$ evaluated for each instrument j.

Usage

gmm_model_dr_iv(y_col = "Y", d_col = "D", z_cols, pi_cols, muY_col, muD_col)

Arguments

y_col, d_col: Column names or indices for outcome and endogenous treatment.
z_cols: Column names or indices for instruments.
pi_cols: Column names or indices for $E[Z_j \mid X]$.
muY_col: Column name or index for $E[Y \mid X]$.
muD_col: Column name or index for $E[D \mid X]$.

Value

A gmm_model object for use with gmm_dnn().

Details

No nuisance models are fit internally. All nuisance values must be supplied as columns in data or model_data.

Examples

dgp <- sim_iv_data("dgp2_iv_homog_overid", n = 80, kx = 2, q = 2, seed = 1)
model <- gmm_model_dr_iv(
  z_cols = c("Z1", "Z2"),
  pi_cols = c("piZ1_oracle", "piZ2_oracle"),
  muY_col = "muY_oracle",
  muD_col = "muD_oracle"
)
is_gmm_model(model)
#> [1] TRUE