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) higher moments approach as well as Lewbel's (2012)
heteroskedasticity 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.
- includes an omitted variable test in the multilevel estimation. It is reported in the summary() function of the
- resolves the error "Error in listIDs[, 1] : incorrect number of dimensions" when using the multilevelIV() function.
- a new simulated dataset is provided, dataMultilevelIV, on which to exemplify the multilevelIV() function.