REndo

Fitting Linear Models with Endogenous Regressors using Latent Instrumental Variables

Fits linear models with endogenous regressor using latent instrumental variable approaches. The methods included in the package are Lewbel's (1997) <doi:10.2307/2171884> higher moments approach as well as Lewbel's (2012) <doi:10.1080/07350015.2012.643126> heteroscedasticity approach, Park and Gupta's (2012) <doi:10.1287/mksc.1120.0718> joint estimation method that uses Gaussian copula and Kim and Frees's (2007) <doi:10.1007/s11336-007-9008-1> multilevel generalized method of moment approach that deals with endogeneity in a multilevel setting. These are statistical techniques to address the endogeneity problem where no external instrumental variables are needed. Note that with version 2.0.0 sweeping changes were introduced which greatly improve functionality and usability but break backwards compatibility.

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Description file content

Package
REndo
Title
Fitting Linear Models with Endogenous Regressors using Latent Instrumental Variables
Version
2.2.1
Date
2019-06-04
Description
Fits linear models with endogenous regressor using latent instrumental variable approaches. The methods included in the package are Lewbel's (1997) higher moments approach as well as Lewbel's (2012) heteroscedasticity approach, Park and Gupta's (2012) joint estimation method that uses Gaussian copula and Kim and Frees's (2007) multilevel generalized method of moment approach that deals with endogeneity in a multilevel setting. These are statistical techniques to address the endogeneity problem where no external instrumental variables are needed. Note that with version 2.0.0 sweeping changes were introduced which greatly improve functionality and usability but break backwards compatibility.
License
GPL-3
URL
BugReports
https://github.com/mmeierer/REndo/issues
NeedsCompilation
no
Depends
R (>= 3.4)
Imports
methods (>= 3.4), stats (>= 3.4), utils (>= 3.4), Formula (>= 1.2), optimx (>= 2013.8.7), mvtnorm (>= 1.0-8), AER (>= 1.2-5), Matrix (>= 1.2-14), lme4 (>= 1.1-18-1), data.table (>= 1.11.8), corpcor (>= 1.6.9)
Suggests
testthat, covr, R.rsp
Encoding
UTF-8
RoxygenNote
6.1.1
VignetteBuilder
R.rsp
Packaged
2019-06-04 21:51:03 UTC; patrik
Author
Raluca Gui [cre, aut], Markus Meierer [aut], Rene Algesheimer [aut], Patrik Schilter [aut]
Maintainer
Raluca Gui
Repository
CRAN
Date/Publication
2019-06-05 14:20:03 UTC

install.packages('REndo')

2.2.1

a month ago

https://github.com/mmeierer/REndo

Raluca Gui

GPL-3

Depends on

R (>= 3.4)

Imports

methods (>= 3.4), stats (>= 3.4), utils (>= 3.4), Formula (>= 1.2), optimx (>= 2013.8.7), mvtnorm (>= 1.0-8), AER (>= 1.2-5), Matrix (>= 1.2-14), lme4 (>= 1.1-18-1), data.table (>= 1.11.8), corpcor (>= 1.6.9)

Suggests

testthat, covr, R.rsp

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