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.
- 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.