Description
moment = sampleWeight*instrument*residual.
Instrumental-variable and moment calculations compare supplied regressors, instruments, residuals and first-stage quantities. A local moment or relevance statistic does not establish exclusion, exogeneity, identification or a complete estimator.
moment = sampleWeight*instrument*residual.
When to use this tool
Use Iv One Instrument Residual Product when checking one supplied first-stage or moment contribution.
How to use the tool and how it works
- Enter instrument, residual, sampleWeight. Use the units and conventions below.
- Run the tool. Correct any format, range, or cross-field input error before interpreting the output.
- Read moment. Use the output convention below.
Require nonnegative sampleWeight. moment = sampleWeight*instrument*residual.1
| Input field | Meaning and units | Accepted input |
|---|---|---|
| instrument | Instrument | Required. Finite number. |
| residual | Residual | Required. Finite number. |
| sampleWeight | Sample Weight | Required. Finite number; minimum 0. |
| Output field | Interpretation | Returned shape |
|---|---|---|
| moment | Moment | Required. Finite number. |
{
"input": {
"instrument": 2,
"residual": 3,
"sampleWeight": 0.5
},
"output": {
"moment": 3
}
}Limitations and assumptions
- This is one weighted instrument-residual contribution, not an exogeneity test, sample average, IV estimator or proof the instrument is valid.
- Inputs must satisfy both the field types and the cross-field conditions above. Invalid input causes an error; a successful false flag or documented placeholder is a different result.
- Numeric calculations use binary floating point unless exact decimal-integer arithmetic is explicitly stated. No hidden measurement tolerance or decimal rounding is added; nonfinite or out-of-contract results are rejected. Numeric signed-zero results are exported as zero.
Alternative or Complementary methods
Fit an appropriate full model and examine identifying assumptions and diagnostics before interpreting an IV result.
References
Similar or alternative tools
- Instrument Moment Centering Residual
uncenteredMoment = instrument*residual; centeredMoment = (instrument-instrumentMean)*residual.
- Residual Score Moment Term
Summarize one weighted residual-score moment and its denominator-aware mean.