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回帰分析ではlm()ではなくestimatr::lm_robust()を使おう / TokyoR100

回帰分析ではlm()ではなくestimatr::lm_robust()を使おう / TokyoR100

2022年7月23日に行われた、第100回R勉強会@東京(#TokyoR)での発表資料です。
https://tokyor.connpass.com/event/253867/

資料で使っているRコードはこちらになります。
https://github.com/dropout009/TokyoR100

7a0892afffbcbd35fd84d46508b3a914?s=128

森下光之助

July 23, 2022
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  1. lm() estimatr::lm_robust() 2022/07/23 100 R @ #TokyoR @dropout009

  2. TVISION INSIGHTS Twitter: @dropout009 Speaker Deck: dropout009 Blog: https://dropout009.hatenablog.com/

  3. R lm() estimatr::lm_robust()

  4. lm()

  5. lm() 𝑌 = 𝑋 + 𝑈 𝑋 ∼ Uniform −2,

    2 𝑈 ∼ 𝒩(0, 1) N <- 50 df <- tibble( x = runif(N, -2, 2), u = rnorm(N, 0, 1), y = x + e ) 𝑈 𝑋
  6. 𝑌! = 𝛼 + 𝛽𝑋! + 𝜖! lm() p lm()

    > df %>% + lm(y ~ x, data = .) %>% + tidy() # A tibble: 2 × 5 term estimate std.error statistic p.value <chr> <dbl> <dbl> <dbl> <dbl> 1 (Intercept) -0.0542 0.146 -0.371 7.12e- 1 2 x 0.990 0.115 8.58 2.93e-11 " 𝛽
  7. • • •

  8. N <- 50 M <- 5000 df <- tibble( m

    = rep(seq_len(M), each = N), x = runif(N * M, -2, 2), u = rnorm(N * M, 0, 1), y = x + u ) df_result <- df %>% nest(data = c(x, u, y)) %>% mutate(result = map(data, ~ tidy(lm(y ~ x, data = .)))) %>% select(m, result) %>% unnest(c(m, result)) %>% filter(term == "x") 𝑌! " , 𝑋! " !#$ % $ 𝛼("), " 𝛽(") 𝑌 = 𝑋 + 𝑈 𝑋 ∼ Uniform −2, 2 𝑈 ∼ 𝒩(0, 1) " 𝛽(")
  9. 6 𝛽(") • • SD & 𝛽 ! , …

    , & 𝛽(#) • * SE & 𝛽 % & 𝛽(%)
  10. lm() • • * SE & 𝛽 % ←

  11. lm()

  12. 𝑈 𝑋 𝑌 = 𝑋 + 𝑈 𝑋 ∼ Uniform

    −2, 2 𝑈 ∼ 𝒩(0, 𝑋,) N <- 50 df_heterogeneous <- tibble( x = runif(N, -2, 2), u = rnorm(N, 0, abs(x)), y = x + u ) 𝑈 𝑋 𝑋
  13. N <- 50 M <- 5000 df_simulation_heterogeneous <- tibble( m

    = rep(seq_len(M), each = N), x = runif(N * M, -2, 2), u = rnorm(N * M, 0, abs(x)), y = x + u ) df_result_heterogeneous <- df_simulation_heterogeneous %>% nest(data = c(x, u, y)) %>% mutate(result = map(data, ~ tidy(lm(y ~ x, data = .)))) %>% select(m, result) %>% unnest(c(m, result)) %>% filter(term == "x")
  14. lm() • • * SE & 𝛽 % ←

  15. lm() lm()

  16. lm()

  17. lm() 𝑌 = 𝑿;𝜷 + 𝑈 𝑿 𝜷 𝐾×1 𝑿

    = 𝑋<, … , 𝑋=, … , 𝑋> ; 𝜷 = (𝛽<, … , 𝛽=, … , 𝛽>)′ 𝔼 𝑈 ∣ 𝑿 = 0 𝜎?(𝑿) 𝜎? 𝑿 = Var 𝑈 ∣ 𝑿 = 𝔼 𝑈? ∣ 𝑿 𝔼 𝑌? < ∞, 𝔼 𝑿 < ∞, 𝔼 𝑿𝑿′ > 0
  18. 𝑌!, 𝑿! , … , 𝑌&, 𝑿& , … ,

    𝑌', 𝑿' / 𝜷 = argmin 𝒃 8 &)! ' 𝑌& − 𝑿& *𝒃 + = 8 &)! ' 𝑿&𝑿& * ,! 8 &)! ' 𝑿&𝑌& / 𝜷 / 𝜷 @ 𝜷 = B !"# $ 𝑿! 𝑿! % &# B !"# $ 𝑿! 𝑌! = B !"# $ 𝑿! 𝑿! % &# B !"# $ 𝑋! 𝑿! %𝜷 + 𝑈! = 𝜷 + B !"# $ 𝑿! 𝑿! % &# B !"# $ 𝑿! 𝑈!
  19. 𝔼 / 𝜷 ∣ 𝑿𝟏, … , 𝑿𝑵 = 𝔼

    𝛽 + 8 &)! ' 𝑿&𝑿& * ,! 8 &)! ' 𝑿&𝑈& ∣ 𝑿𝟏, … , 𝑿𝑵 = 𝜷 + 8 &)! ' 𝑿&𝑿& * ,! 8 &)! ' 𝑿&𝔼 𝑈& ∣ 𝑿& = 𝜷
  20. Var @ 𝜷 ∣ 𝑿# , … , 𝑿$ =

    Var 𝜷 + B !"# $ 𝑿! 𝑿! % &# B !"# $ 𝑿! 𝑈! ∣ 𝑿# , … , 𝑿$ = B !"# $ 𝑿! 𝑿! % &# B !"# $ 𝑿! 𝑿! %Var 𝑈! ∣ 𝑿! B !"# $ 𝑿! 𝑿! % &# = B !"# $ 𝑿! 𝑿! % &# B !"# $ 𝑿! 𝑿! %𝔼 𝑈! ' ∣ 𝑿! B !"# $ 𝑿! 𝑿! % &# = B !"# $ 𝑿! 𝑿! % &# B !"# $ 𝑿! 𝑿! %𝜎! ' B !"# $ 𝑿! 𝑿! % &# 𝜎& + = 𝜎+ 𝑿& = 𝔼 𝑈& + ∣ 𝑿& 𝑖 ≠ 𝑗 Cov 𝑈! , 𝑈" ∣ 𝑿# , … , 𝑿$ = 𝔼 𝑈! 𝑈" ∣ 𝑿# , … , 𝑿$ = 𝔼 𝑈! ∣ 𝑿! 𝔼 𝑈" ∣ 𝑿" = 0
  21. 𝑁 𝜎& + 𝜎& + = 𝜎+ Var @ 𝜷

    ∣ 𝑿# , … , 𝑿$ = B !"# $ 𝑿! 𝑿! % &# B !"# $ 𝑿! 𝑿! %𝜎! ' B !"# $ 𝑿! 𝑿! % &# ≈ B !"# $ 𝑿! 𝑿! % &# B !"# $ 𝑿! 𝑿! %𝜎' B !"# $ 𝑿! 𝑿! % &# = 𝜎' B !"# $ 𝑿! 𝑿! % &# 𝜎+ 𝑠' = 1 𝑁 − 𝐾 B !"# $ @ 𝑈! ' = 1 𝑁 − 𝐾 B !"# $ 𝑌! − 𝑿! % @ 𝜷 ' N Var @ 𝜷 ∣ 𝑿# , … , 𝑿$ = 𝑠' B !"# $ 𝑿! 𝑿! % &# lm()
  22. 𝑌 = 𝛼 + 𝛽𝑋 + 𝑈 C 𝛼 =

    D 𝑌 − & 𝛽𝑋 & 𝛽 = ∑&)! ' 𝑋& − D 𝑋 𝑌& − D 𝑌 ∑&)! ' 𝑋& − D 𝑋 + & 𝛽 Var & 𝛽 ∣ 𝑋!, … , 𝑋' = ∑&)! ' 𝑋& − D 𝑋 +𝜎& + ∑&)! ' 𝑋& − D 𝑋 + + = 1 ∑&)! ' 𝑋& − D 𝑋 + ∑&)! ' 𝑋& − D 𝑋 +𝜎& + ∑&)! ' 𝑋& − D 𝑋 + Var & 𝛽 ∣ 𝑋!, … , 𝑋' ≈ 1 ∑&)! ' 𝑋& − D 𝑋 + 𝜎+ 𝜎& + 𝜎+ ⾒ 𝑋! − 1 𝑋 %
  23. 話 3 𝑌 = 𝑋 + 𝑈 𝑋 ∼ Uniform

    {1, 2, 3} 𝑈 ∼ 𝒩 0, 𝜎? 𝑋 𝜎& 𝑋 = & 16& if 𝑋 = 1 16& if 𝑋 = 2 16& if 𝑋 = 3 𝜎& 𝑋 = & 1& if 𝑋 = 1 31& if 𝑋 = 2 16& if 𝑋 = 3 𝜎& 𝑋 = & 31& if 𝑋 = 1 1& if 𝑋 = 2 16& if 𝑋 = 3 𝑈 𝑋
  24. 話 ⾒ 話 ⾒

  25. ⾒ lm() lm() 0.70 0.70 0.52 0.70 0.84 0.69 lm()

  26. Robust Standard Errors

  27. Var @ 𝜷 ∣ 𝑿# , … , 𝑿$ =

    B !"# $ 𝑿! 𝑿! % &# B !"# $ 𝑿! 𝑿! %𝔼 𝑈! ' ∣ 𝑿! B !"# $ 𝑿! 𝑿! % &# ⾒ 𝑠+ 𝑠' = 1 𝑁 − 𝐾 B !"# $ @ 𝑈! ' 𝔼 𝑈& + ∣ 𝑿& 𝑠+ / 𝑈& + N Var @ 𝜷 ∣ 𝑿# , … , 𝑿$ = B !"# $ 𝑿! 𝑿! % &# B !"# $ 𝑿! 𝑿! % @ 𝑈! ' B !"# $ 𝑿! 𝑿! % &# Heteroskedasticity-Consistent Standard Errors Robust Standard Errors Robust SE HC0 ' 𝑈! " 1 𝑁 # $ ∑!%# $ 𝑿!𝑿! & ' 𝑈! "
  28. R Robust SE estimatr::lm_robust()

  29. 𝑌 = 𝑋 + 𝑈 𝑋 ∼ Uniform −2, 2

    𝑈 ∼ 𝒩(0, 𝑋,) N <- 50 df_heterogeneous <- tibble( x = runif(N, -2, 2), u = rnorm(N, 0, abs(x)), y = x + u ) 𝑈 𝑋 𝑋
  30. estimatr::lm_robust() se_type Robust SE Robust SE estimatr::lm_robust() > df_heterogeneous %>%

    + estimatr::lm_robust(y ~ x, data = ., se_type = "classical") %>% + tidy() term estimate std.error statistic p.value conf.low conf.high df outcome 1 (Intercept) 0.3456885 0.1594783 2.167621 3.517795e-02 0.02503593 0.666341 48 y 2 x 0.8999665 0.1531487 5.876423 3.869962e-07 0.59204038 1.207893 48 y > df_heterogeneous %>% + estimatr::lm_robust(y ~ x, data = ., se_type = "HC0") %>% + tidy() term estimate std.error statistic p.value conf.low conf.high df outcome 1 (Intercept) 0.3456885 0.1563591 2.210862 0.031843538 0.03130734 0.6600696 48 y 2 x 0.8999665 0.2389852 3.765784 0.000453233 0.41945455 1.3804784 48 y lm() Robust
  31. Robust SE • classical Robust SE HC0 • Robust SE

    50 * SE & 𝛽 % ←
  32. • HC0 • HC0 - HC3 ⾒ HC2 HC3 HC0

    < HC2 < HC3 HC3 • estimatr::lm_robust() HC2 Stata HC1 ℎ!! = 𝑿! & 3 !'# $ 𝑿! 𝑿! & (# 𝑿! leverage 𝑋! 0 ≤ ℎ!! ≤ 1 HC0<HC2<HC3 Hansen(2022) HC0 3 !'# $ 𝑿! 𝑿! & (# 3 !'# $ 𝑿! 𝑿! & 6 𝑈! % 3 !'# $ 𝑿! 𝑿! & (# HC1 𝑁 𝑁 − 𝐾 3 !'# $ 𝑿! 𝑿! & (# 3 !'# $ 𝑿! 𝑿! & 6 𝑈! % 3 !'# $ 𝑿! 𝑿! & (# HC2 3 !'# $ 𝑿! 𝑿! & (# 3 !'# $ 𝑿! 𝑿! & 6 𝑈! % 1 − ℎ!! 3 !'# $ 𝑿! 𝑿! & (# HC3 3 !'# $ 𝑿! 𝑿! & (# 3 !'# $ 𝑿! 𝑿! & 6 𝑈! % 1 − ℎ!! % 3 !'# $ 𝑿! 𝑿! & (#
  33. Robust SE • HC0-HC3 • HC1-HC3 HC0 HC3 * SE

    & 𝛽 % ←
  34. None
  35. • R lm() lm() • Robust SE Robust SE •

    R estimatr lm_robust() Robust SE sandwich vcovHC() lm_robust() lm() • Robust SE HC0, HC1, HC2, HC3 ⾒ HC2 HC3
  36. None
  37. • Hansen, Bruce E. "Econometrics." (2022). https://www.ssc.wisc.edu/~bhansen/econometrics/. • Blair G,

    Cooper J, Coppock A, Humphreys M, Sonnet L. (2022). estimatr: Fast Estimators for Design- Based Inference. https://declaredesign.org/r/estimatr/. https://github.com/DeclareDesign/estimatr.
  38. R