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sValues: measures of the sturdiness of regression coefficients

Description

The R package sValuesimplements the measure of sturdiness of coefficients proposed by Leamer (2014) and discussed in Leamer (2015). The S-values try to provide a sensible framework to assess the sensitivity of coefficient estimates to model ambiguity.

Details

The main function of the package is thesValues function.

More information can be found on its help documentation, examples and vignette.

The package also includes an example dataset on economic growth.

Author(s)

Maintainer: Carlos Cinellicarloscinelli@hotmail.com

References

Leamer, E. (2014). S-values: Conventional context-minimal measures of the sturdiness of regression coefficients. Working Paper

Leamer, E. (2015). S-values and bayesian weighted all-subsets regressions. European Economic Review.

See Also

Useful links:

• Report bugs athttps://github.com/carloscinelli/sValues/issues

Extract sValues Model Coefficients/Statistics

Description

Extract sValues Model Coefficients/Statistics

Usage

## S3 method for class 'sValues'coef(object, type = "default", ...)betas(object)t_values(object)s_values(object)extreme_bounds(object)

Arguments

Details

For thecoef function, the default is to extract the beta coefficients, t-values and s-values. You can can get each one of those individually by settingtype to either "betas", "t_values" or "s_values". You can also get the extreme bounds of the estimates by settingtype to "extreme_bounds". Finally, you can settype = "all" to get everything.

For each option ofcoef, there is an alternative helper function with the same name. That is,coef(x, "betas") is equivalent tobetas(x), orcoef(x, "extreme_bounds") is equivalenttoextreme_bounds(x).

Value

The function returns adata.frame with the estimates for each variable.

See Also

summary.sValues.

Examples

data(economic_growth)eg_sv <- sValues(GR6096 ~ ., data = economic_growth)eg_betas <- coef(eg_sv, "betas")eg_t_values <- coef(eg_sv, "t_values")eg_s_values <- coef(eg_sv, "s_values")eg_ext_bounds <- coef(eg_sv, "extreme_bounds")# get sturdy estimates for R2 bounds 0.5 - 1eg_s_values[abs(eg_s_values[3]) > 1, 3, drop = FALSE]

Economic Growth data

Description

Sala i Martin's (88 countries)Leamer's (87 countries)Original (139 countries)

Usage

economic_growtheconomic_growth_originaleconomic_growth_sala_i_martin

Format

An object of classdata.frame with 87 rows and 68 columns.

An object of classdata.frame with 139 rows and 68 columns.

An object of classdata.frame with 88 rows and 68 columns.

Plot method for S-values

Description

Plot methods for objects of the classsValues.

Usage

## S3 method for class 'sValues'plot(x, type = "t_s_plot", ...)

Arguments

Details

Additional arguments:

t_s_plot

• R2_bounds: a numeric vector of length two specifying which R2 bounds range to plot.

beta_plot

• variables: a character vector specifying which variables to plot. Default is "all".

• error_bar: should the error bars be plotted? Default isFALSE.

• ext_bounds_shades: should shades representing the extreme bounds be plotted? Default isFALSE.

Value

It returns aggplot object with the requested plot.

Examples

# growth regressions exampledata(economic_growth)eg_sv <- sValues(GR6096 ~ ., data = economic_growth)plot(eg_sv, R2_bounds = c(0.5, 1))plot(eg_sv, R2_bounds = c(0.1, 1))plot(eg_sv, type = "beta_plot", variable = "OPENDEC1", error_bar = FALSE)plot(eg_sv, type = "beta_plot", variable = "OPENDEC1", error_bar = TRUE)

Succinct display of S-values results.

Description

Succinct display of S-values results.

Usage

## S3 method for class 'sValues'print(x, ..., print.length = 6)

Arguments

Value

NULL

Examples

data(economic_growth)eg_sv <- sValues(GR6096 ~ ., data = economic_growth)eg_svstr(eg_sv)

S-values: conventional model ambiguity measures

Description

The functionsValues performs the extreme bound analysis proposed by Leamer (2014) and discussed in Leamer (2015). For further details see the package vignette.

Usage

sValues(  ...,  R2_bounds = c(0.1, 0.5, 1),  favorites = NULL,  R2_favorites = NULL,  scale = TRUE)## S3 method for class 'formula'sValues(  formula,  data,  R2_bounds = c(0.1, 0.5, 1),  favorites = NULL,  R2_favorites = NULL,  scale = TRUE,  ...)## S3 method for class 'matrix'sValues(  m,  R2_bounds = c(0.1, 0.5, 1),  favorites = NULL,  R2_favorites = NULL,  scale = TRUE,  ...)## S3 method for class 'data.frame'sValues(  df,  R2_bounds = c(0.1, 0.5, 1),  favorites = NULL,  R2_favorites = NULL,  scale = TRUE,  ...)

Arguments

Value

sValues returns an object a list of class "sValues" containing the main results of the analysis:

• info: alist with the general information about the parameters used in the analysis, such as the formula, the data, the bounds and favorite variables.

• simple: alist with the results of the simple linear regressions for each variable.

• all: the results of the linear regression with all variables.

• bayes: alist with the results of the bayesian regression for each combination of the R2 bounds. Each bayesian regression includes the coefficient estimates, the variance-covariance matrix and the t-values.

• ext_bounds: alist with the extreme bounds estimates for each combination of the R2 bounds.

• s_values: adata.frame with the s_values for each combination of the R2 bounds.

References

Leamer, E. (2014). S-values: Conventional context-minimal measures of the sturdiness of regression coefficients. Working Paper

Leamer, E. (2015). S-values and bayesian weighted all-subsets regressions. European Economic Review.

See Also

coef.sValues to extract coefficients or statistics;

print.sValues for printing;

summary.sValues for summaries;

plot.sValues for plots.

Examples

# growth regressions example## All variables, No favoritesdata(economic_growth)eg_sv <- sValues(GR6096 ~ ., data = economic_growth)eg_sv # prints resultsplot(eg_sv, R2_bounds = c(0.5, 1))plot(eg_sv, type = "beta_plot", variable = "P60", error_bar = TRUE)coefs_eg <- coef(eg_sv) # extract coefficientscoefs_eg##  only 14 variableseg_sv_14 <-  sValues(GR6096 ~GDPCH60L + OTHFRAC + ABSLATIT +                        LT100CR + BRIT + GOVNOM1 + WARTIME +                        SCOUT + P60 + PRIEXP70 + OIL +                        H60 + POP1560 + POP6560, data = economic_growth)eg_sv_14coefs_eg_14 <- coef(eg_sv_14)## With 14 favorites among all variablesfavorites <- c("GDPCH60L", "OTHFRAC", "ABSLATIT", "LT100CR",               "BRIT", "GOVNOM1", "WARTIME", "SCOUT",               "P60", "PRIEXP70", "OIL", "H60",               "POP1560", "POP6560")eg_sv_fav <- sValues(GR6096 ~ ., data = economic_growth, R2_bounds = c(0.5, 1),                    favorites = favorites, R2_favorites = c(0.4, 0.8))eg_sv_favplot(eg_sv_fav, R2_bounds = c(0.5, 1))plot(eg_sv_fav, type = "beta_plot", variable = "P60", error_bar = TRUE)coefs_eg_fav <- coef(eg_sv_fav)coefs_eg_fav

str sValues

Description

str method forsValues.

Usage

## S3 method for class 'sValues'str(object, max.level = 1, ...)

Arguments

summary sValues

Description

For now, this function is equivalent toprint.sValues.

Usage

## S3 method for class 'sValues'summary(object, ...)

Arguments