Struct InstrumentalVariables 

pub struct InstrumentalVariables {
    pub n_endogenous: usize,
    pub n_instruments: usize,
    pub first_stage: Vec<f64>,
    pub second_stage: f64,
}

Instrumental variables (IV) estimation and Two-Stage Least Squares (2SLS).

Used when treatment is endogenous (correlated with the error term). Requires a valid instrument Z that:

1. Is correlated with the treatment D.
2. Affects the outcome Y only through D (exclusion restriction).
3. Is independent of unobserved confounders.

Fields

n_endogenous: usize

Number of endogenous variables.

n_instruments: usize

Number of instruments.

first_stage: Vec<f64>

First-stage coefficients (instrument → treatment).

second_stage: f64

Second-stage coefficient (treatment → outcome).

Implementations

impl InstrumentalVariables

pub fn new(n_endogenous: usize, n_instruments: usize) -> Self

Create a new IV estimator.

pub fn fit_2sls(&mut self, y: &[f64], d: &[f64], z: &[Vec<f64>])

Fit the 2SLS estimator.

Stage 1: regress treatment d on instruments z. Stage 2: regress outcome y on predicted treatment d_hat.

Arguments

• y — outcome variable
• d — endogenous treatment variable
• z — instruments matrix, shape [n_obs][n_instruments]

pub fn first_stage_f_stat(&self, y: &[f64], d: &[f64], z: &[Vec<f64>]) -> f64

Compute the first-stage F-statistic (instrument relevance test).

Large F (> 10) indicates strong instruments.

pub fn predict(&self, d_val: f64) -> f64

Predict the causal effect for a new treatment value.

Trait Implementations

impl Clone for InstrumentalVariables

fn clone(&self) -> InstrumentalVariables

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for InstrumentalVariables

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.