Multiplicative structural mean model

Function providing several methods to estimate the multiplicative structural mean model (MSMM) of Robins (1989).

Usage

msmm(
  formula,
  instruments,
  data,
  subset,
  na.action,
  contrasts = NULL,
  estmethod = c("gmm", "gmmalt", "tsls", "tslsalt"),
  t0 = NULL,
  ...
)

Arguments

formula, instruments

formula specification(s) of the regression relationship and the instruments. Either instruments is missing and formula has three parts as in y ~ x1 + x2 | z1 + z2 + z3 (recommended) or formula is y ~ x1 + x2 and instruments is a one-sided formula ~ z1 + z2 + z3 (only for backward compatibility).

data

an optional data frame containing the variables in the model. By default the variables are taken from the environment of the formula.

subset

an optional vector specifying a subset of observations to be used in fitting the model.

na.action

a function that indicates what should happen when the data contain NAs. The default is set by the na.action option.

contrasts

an optional list. See the contrasts.arg of stats::model.matrix().

estmethod

Estimation method, please use one of

"gmm" GMM estimation of the MSMM (the default).
"gmmalt" GMM estimation of the alternative moment conditions for the MSMM as per Clarke et al. (2015). These are the same moment conditions fit by the user-written Stata command ivpois (Nichols, 2007) and by the official Stata command ivpoisson gmm ..., multiplicative (StataCorp., 2013).
"tsls" the TSLS method of fitting the MSMM of Clarke et al. (2015). For binary \(Y\) and \(X\) this uses \(Y*(1-X)\) as the outcome and \(Y*X\) as the exposure.
"tslsalt" the alternative TSLS method of fitting the MSMM of Clarke et al. (2015). For binary \(Y\) and \(X\) this uses \(Y*X\) as the outcome and \(Y*(1-X)\) as the exposure.

t0

A vector of starting values for the gmm optimizer. This should have length equal to the number of exposures plus 1.

...

further arguments passed to or from other methods.

Value

An object of class "msmm". A list with the following items:

fit: The object from either a gmm::gmm() or ivreg::ivreg() fit.
crrci: The causal risk ratio/s and it corresponding 95% confidence interval limits.
estmethod: The specified estmethod.

If estmethod is "tsls", "gmm", or "gmmalt":

ey0ci: The estimate of the treatment/exposure free potential outcome and its 95% confidence interval limits.

If estmethod is "tsls" or "tslsalt":

stage1: An object containing the first stage regression from an stats::lm() fit.

Details

Function providing several methods to estimate the multiplicative structural mean model (MSMM) of Robins (1989). These are the methods described in Clarke et al. (2015), most notably generalised method of moments (GMM) estimation of the MSMM.

An equivalent estimator to the MSMM was proposed in Econometrics by Mullahy (1997) and then discussed in several articles by Windmeijer (1997, 2002) and Cameron and Trivedi (2013). This was implemented in the user-written Stata command ivpois (Nichols, 2007) and then implemented in official Stata in the ivpoisson command (StataCorp., 2013).

References

Cameron AC, Trivedi PK. Regression analysis of count data. 2nd ed. 2013. New York, Cambridge University Press. ISBN:1107667275

Clarke PS, Palmer TM, Windmeijer F. Estimating structural mean models with multiple instrumental variables using the Generalised Method of Moments. Statistical Science, 2015, 30, 1, 96-117. doi:10.1214/14-STS503

Hernán and Robins. Instruments for causal inference: An Epidemiologist's dream? Epidemiology, 2006, 17, 360-372. doi:10.1097/01.ede.0000222409.00878.37

Mullahy J. Instrumental-variable estimation of count data models: applications to models of cigarette smoking and behavior. The Review of Economics and Statistics. 1997, 79, 4, 586-593. doi:10.1162/003465397557169

Nichols A. ivpois: Stata module for IV/GMM Poisson regression. 2007. url

Palmer TM, Sterne JAC, Harbord RM, Lawlor DA, Sheehan NA, Meng S, Granell R, Davey Smith G, Didelez V. Instrumental variable estimation of causal risk ratios and causal odds ratios in Mendelian randomization analyses. American Journal of Epidemiology, 2011, 173, 12, 1392-1403. doi:10.1093/aje/kwr026

Robins JM. The analysis of randomised and nonrandomised AIDS treatment trials using a new approach to causal inference in longitudinal studies. In Health Service Research Methodology: A Focus on AIDS (L. Sechrest, H. Freeman and A. Mulley, eds.). 1989. 113–159. US Public Health Service, National Center for Health Services Research, Washington, DC.

StataCorp. Stata Base Reference Manual. Release 13. ivpoisson - Poisson model with continuous endogenous covariates. 2013. url

Windmeijer FAG, Santos Silva JMC. Endogeneity in Count Data Models: An Application to Demand for Health Care. Journal of Applied Econometrics. 1997, 12, 3, 281-294. doi:10/fdkh4n

Windmeijer, F. ExpEnd, A Gauss programme for non-linear GMM estimation of EXPonential models with ENDogenous regressors for cross section and panel data. CEMMAP working paper CWP14/02. 2002. url

Examples

# Single instrument example
# Data generation from the example in the ivtools ivglm() helpfile
set.seed(9)
n <- 1000
psi0 <- 0.5
Z <- rbinom(n, 1, 0.5)
X <- rbinom(n, 1, 0.7*Z + 0.2*(1 - Z))
m0 <- plogis(1 + 0.8*X - 0.39*Z)
Y <- rbinom(n, 1, plogis(psi0*X + log(m0/(1 - m0))))
dat <- data.frame(Z, X, Y)
fit <- msmm(Y ~ X | Z, data = dat)
summary(fit)
#> 
#> Estimation method: gmm 
#> 
#> GMM fit summary:
#> 
#> Call:
#> gmm::gmm(g = msmmMoments, x = dat, t0 = t0, vcov = "iid")
#> 
#> 
#> Method:  twoStep 
#> 
#> Coefficients:
#>           Estimate     Std. Error   t value      Pr(>|t|)   
#> Theta[1]   7.2784e-01   2.5893e-02   2.8110e+01  7.4591e-174
#> Theta[2]   1.3107e-01   6.0307e-02   2.1733e+00   2.9754e-02
#> 
#> J-Test: degrees of freedom is 0 
#>                 J-test                P-value             
#> Test E(g)=0:    1.73561467137432e-06  *******             
#> 
#> #############
#> Information related to the numerical optimization
#> Convergence code =  0 
#> Function eval. =  63 
#> Gradian eval. =  NA 
#> 
#> E[Y(0)] with 95% CI:
#>         0.025  0.975 
#> 0.7278 0.6771 0.7786 
#> 
#> Causal risk ratio with 95% CI:
#>    CRR 0.025 0.975
#> X 1.14 1.013 1.283
#> 

# Multiple instrument example
set.seed(123456)
n <- 1000
psi0 <- 0.5
G1 <- rbinom(n, 2, 0.5)
G2 <- rbinom(n, 2, 0.3)
G3 <- rbinom(n, 2, 0.4)
U <- runif(n)
pX <- plogis(0.7*G1 + G2 - G3 + U)
X <- rbinom(n, 1, pX)
pY <- plogis(-2 + psi0*X + U)
Y <- rbinom(n, 1, pY)
dat2 <- data.frame(G1, G2, G3, X, Y)
fit2 <- msmm(Y ~ X | G1 + G2 + G3, data = dat2)
summary(fit2)
#> 
#> Estimation method: gmm 
#> 
#> GMM fit summary:
#> 
#> Call:
#> gmm::gmm(g = msmmMoments, x = dat, t0 = t0, vcov = "iid")
#> 
#> 
#> Method:  twoStep 
#> 
#> Coefficients:
#>           Estimate    Std. Error  t value     Pr(>|t|)  
#> Theta[1]  0.18250038  0.05196181  3.51220233  0.00044441
#> Theta[2]  0.45163610  0.41838256  1.07948119  0.28037327
#> 
#> J-Test: degrees of freedom is 2 
#>                 J-test   P-value
#> Test E(g)=0:    0.27121  0.87319
#> 
#> Initial values of the coefficients
#>  Theta[1]  Theta[2] 
#> 0.1831035 0.4392681 
#> 
#> #############
#> Information related to the numerical optimization
#> Convergence code =  0 
#> Function eval. =  59 
#> Gradian eval. =  NA 
#> 
#> E[Y(0)] with 95% CI:
#>           0.025   0.975 
#> 0.18250 0.08066 0.28434 
#> 
#> Causal risk ratio with 95% CI:
#>     CRR  0.025 0.975
#> X 1.571 0.6919 3.567
#>