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> heteroskedasticity 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. This version: - solves an error occurring when using the multilevelIV() function with two levels, random intercept. - returns the AIC and BIC for copulaCorrection() (method 1) and latentIV() methods. - residuals and fitted values can be saved by users for latentIV() and copulaCorrection() methods. - improves the summary methods for copulaCorrection() and multilevelIV() functions.
Version: | 1.2 |
Depends: | methods |
Imports: | optimx, mvtnorm, AER, e1071, stats, corpcor, lme4, gmm, lmtest, plyr, sandwich, Matrix |
Published: | 2017-04-10 |
Author: | Raluca Gui, Markus Meierer, Rene Algesheimer |
Maintainer: | Raluca Gui <raluca.gui at business.uzh.ch> |
License: | GPL-3 |
NeedsCompilation: | no |
In views: | Econometrics |
CRAN checks: | REndo results |
Reference manual: | REndo.pdf |
Package source: | REndo_1.2.tar.gz |
Windows binaries: | r-devel: REndo_1.2.zip, r-release: REndo_1.2.zip, r-oldrel: REndo_1.2.zip |
OS X El Capitan binaries: | r-release: REndo_1.2.tgz |
OS X Mavericks binaries: | r-oldrel: REndo_1.2.tgz |
Old sources: | REndo archive |
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