Imai-Ratkovic covariate-balance test

Tests whether the estimated instrument propensity score balances the covariates, using the overidentification test of Imai and Ratkovic (2014). The propensity-score MLE score equations identify the coefficients; the covariate-balancing (CBPS) moments are the overidentifying restrictions. A large statistic is evidence that the propensity-score model does not balance the covariates — a misspecification diagnostic. This is the Stata latebalance overid postestimation feature.

Usage

balance_test(object)

Arguments

object

A fitted drlate() object (with keep_data = TRUE) using a logistic or probit instrument propensity score.

Value

An object of class drlate_balance_test: a list with statistic (Hansen's J), df, p.value, ivmodel, and n, with a print method.

References

Imai, K. and Ratkovic, M. (2014). Covariate Balancing Propensity Score. Journal of the Royal Statistical Society B 76(1), 243–263.

See also

balance() for the standardized-mean-difference diagnostics.

Examples

fit <- drlate(lwage ~ age + educ, nvstat ~ age + educ,
              rsncode ~ age + educ, data = drlate_sim)
balance_test(fit)
#> Imai-Ratkovic covariate-balance test (overidentification)
#> 
#>   Hansen J = 3.0473   df = 4   p-value = 0.5499
#>   Instrument propensity score: logit (n = 2000)
#> 
#>   H0: the propensity-score model balances the covariates.