Package: naivereg 1.0.5
Qingliang Fan
naivereg: Nonparametric Additive Instrumental Variable Estimator and Related IV Methods
In empirical studies, instrumental variable (IV) regression is the signature method to solve the endogeneity problem. If we enforce the exogeneity condition of the IV, it is likely that we end up with a large set of IVs without knowing which ones are good. Also, one could face the model uncertainty for structural equation, as large micro dataset is commonly available nowadays. This package uses adaptive group lasso and B-spline methods to select the nonparametric components of the IV function, with the linear function being a special case (naivereg). The package also incorporates two stage least squares estimator (2SLS), generalized method of moment (GMM), generalized empirical likelihood (GEL) methods post instrument selection, logistic-regression instrumental variables estimator (LIVE, for dummy endogenous variable problem), double-selection plus instrumental variable estimator (DS-IV) and double selection plus logistic regression instrumental variable estimator (DS-LIVE), where the double selection methods are useful for high-dimensional structural equation models. The naivereg is nonparametric version of 'ivregress' in 'Stata' with IV selection and high dimensional features. The package is based on the paper by Q. Fan and W. Zhong, "Nonparametric Additive Instrumental Variable Estimator: A Group Shrinkage Estimation Perspective" (2018), Journal of Business & Economic Statistics <doi:10.1080/07350015.2016.1180991> as well as a series of working papers led by the same authors.
Authors:
naivereg_1.0.5.tar.gz
naivereg_1.0.5.tar.gz(r-4.5-noble)naivereg_1.0.5.tar.gz(r-4.4-noble)
naivereg_1.0.5.tgz(r-4.4-emscripten)naivereg_1.0.5.tgz(r-4.3-emscripten)
naivereg.pdf |naivereg.html✨
naivereg/json (API)
# Install 'naivereg' in R: |
install.packages('naivereg', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
- DSIVdata - The data generating for the DSIV
- DSLIVEdata - The data generating for the DSLIVE
- LIVEdata - The data generating for the LIVE
- TradeAndGrowthData - Trade and growth data
- naivedata - The data generating for the naivereg
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 5 years agofrom:085f18be82. Checks:OK: 1 NOTE: 1. Indexed: yes.
Target | Result | Date |
---|---|---|
Doc / Vignettes | OK | Nov 23 2024 |
R-4.5-linux | NOTE | Nov 23 2024 |
Exports:DSIVDSLIVEIVselectLIVEnaive.gelnaive.gmmnaivereg
Dependencies:codetoolsforeachglmnetgmmgrpregiteratorslatticeMatrixncvregRcppRcppEigensandwichshapesurvivalzoo
Readme and manuals
Help Manual
Help page | Topics |
---|---|
Double-Selection Plus Instrumental Variable Estimator | DSIV |
The data generating for the DSIV | DSIVdata |
DS-LIVE | DSLIVE |
The data generating for the DSLIVE | DSLIVEdata |
Selecting instrument variables using group lasso and B-splines in naivereg | IVselect |
Logistic-regression Instrumental Variables Estimator | LIVE |
The data generating for the LIVE | LIVEdata livedata |
Estimete the parameters with gel after IV selecting | naive.gel |
Estimete the parameters with gmm after IV selecting | naive.gmm |
The data generating for the naivereg | naivedata |
Nonparametric additive instrumental variable estimator | naivereg |
Trade and growth data | TradeAndGrowthData |