hdm: High-Dimensional Metrics

Implementation of selected high-dimensional statistical and econometric methods for estimation and inference. Efficient estimators and uniformly valid confidence intervals for various low-dimensional causal/ structural parameters are provided which appear in high-dimensional approximately sparse models. Including functions for fitting heteroscedastic robust Lasso regressions with non-Gaussian errors and for instrumental variable (IV) and treatment effect estimation in a high-dimensional setting. Moreover, the methods enable valid post-selection inference and rely on a theoretically grounded, data-driven choice of the penalty.

AuthorMartin Spindler [cre, aut], Victor Chernozhukov [aut], Christian Hansen [aut]
Date of publication2016-06-17 21:46:27
MaintainerMartin Spindler <spindler@mea.mpisoc.mpg.de>
LicenseGPL-3
Version0.2.0

View on CRAN

Functions

401(k) Man page
AJR Man page
ate Man page
ATE Man page
atet Man page
ATET Man page
BLP Man page
confint.rlassoEffects Man page
confint.rlassoIV Man page
confint.rlassoIVselectX Man page
confint.rlassoIVselectZ Man page
confint.rlassologitEffects Man page
confint.rlassoTE Man page
cps2012 Man page
data Man page
EminentDomain Man page
Example Man page
GDP Man page
Growth Man page
GrowthData Man page
Growth Data Man page
hdm Man page
hdm-package Man page
lambdaCalculation Man page
LassoShooting.fit Man page
late Man page
LATE Man page
latet Man page
LATET Man page
methods.rlasso Man page
methods.rlassoEffects Man page
methods.rlassoIV Man page
methods.rlassoIVselectX Man page
methods.rlassoIVselectZ Man page
methods.rlassologit Man page
methods.rlassologitEffects Man page
methods.rlassoTE Man page
methods.tsls Man page
model.matrix.rlasso Man page
model.matrix.rlassologit Man page
pension Man page
plans Man page
plot.rlassoEffects Man page
predict.rlasso Man page
predict.rlassologit Man page
print.rlasso Man page
print.rlassoEffects Man page
print.rlassoIV Man page
print.rlassoIVselectX Man page
print.rlassoIVselectZ Man page
print.rlassologit Man page
print.rlassologitEffects Man page
print.rlassoTE Man page
print.summary.rlassoEffects Man page
print.tsls Man page
rlasso Man page
rlassoATE Man page
rlassoATE.default Man page
rlassoATE.formula Man page
rlassoATET Man page
rlassoATET.default Man page
rlassoATET.formula Man page
rlasso.default Man page
rlassoEffect Man page
rlassoEffects Man page
rlassoEffects.default Man page
rlassoEffects.formula Man page
rlasso.formula Man page
rlassoIV Man page
rlassoIV.default Man page
rlassoIV.formula Man page
rlassoIVmult Man page
rlassoIVselectX Man page
rlassoIVselectX.default Man page
rlassoIVselectX.formula Man page
rlassoIVselectZ Man page
rlassoIVselectZ.default Man page
rlassoIVselectZ.formula Man page
rlassoLATE Man page
rlassoLATE.default Man page
rlassoLATE.formula Man page
rlassoLATET Man page
rlassoLATET.default Man page
rlassoLATET.formula Man page
rlassologit Man page
rlassologit.default Man page
rlassologitEffect Man page
rlassologitEffects Man page
rlassologitEffects.default Man page
rlassologitEffects.formula Man page
rlassologit.formula Man page
summary.rlasso Man page
summary.rlassoEffects Man page
summary.rlassoIV Man page
summary.rlassoIVselectX Man page
summary.rlassoIVselectZ Man page
summary.rlassologit Man page
summary.rlassologitEffects Man page
summary.rlassoTE Man page
summary.tsls Man page
tsls Man page
tsls.default Man page
tsls.formula Man page
wealth Man page

Files

hdm
hdm/inst
hdm/inst/CITATION
hdm/inst/doc
hdm/inst/doc/hdm_introduction.Rnw
hdm/inst/doc/hdm_introduction.pdf
hdm/tests
hdm/tests/testthat.R
hdm/tests/testthat
hdm/tests/testthat/no_test_rlassologit_MS.R
hdm/tests/testthat/DGPs.R
hdm/tests/testthat/no_test_rlasso_predict_MS.R
hdm/tests/testthat/no_test_LassoShooting.fit.R
hdm/tests/testthat/test_LassoShooting.fit.R
hdm/tests/testthat/no_test_rlasso.R
hdm/tests/testthat/examples.R
hdm/tests/testthat/test_rlassoEffect.R
hdm/tests/testthat/test_rlasso.R
hdm/tests/testthat/no_test_rlasso_MS.R
hdm/NAMESPACE
hdm/data
hdm/data/cps2012.rda
hdm/data/BLP.rda
hdm/data/pension.rda
hdm/data/AJR.rda
hdm/data/EminentDomain.rda
hdm/data/datalist
hdm/data/GrowthData.rda
hdm/R
hdm/R/rlassoIV.R hdm/R/LassoShooting.fit.R hdm/R/rlassologitEffect.R hdm/R/rlassoEffects.R hdm/R/rlasso.R hdm/R/help_functions.R hdm/R/pkg-package.R hdm/R/tsls.R hdm/R/rlassologit.R hdm/R/rlassotreatment.R hdm/R/rlassoIVselectZ.R hdm/R/rlassoIVselectX.R
hdm/vignettes
hdm/vignettes/econometrica.bst
hdm/vignettes/hdm_introduction.Rnw
hdm/vignettes/mybib.bib
hdm/MD5
hdm/build
hdm/build/vignette.rds
hdm/DESCRIPTION
hdm/man
hdm/man/rlassoIV.Rd hdm/man/rlassologitEffects.Rd hdm/man/methods.rlassologit.Rd hdm/man/TE.Rd hdm/man/methods.rlassoTE.Rd hdm/man/rlasso.Rd hdm/man/pension.Rd hdm/man/LassoShooting.fit.Rd hdm/man/BLP.Rd hdm/man/rlassoEffects.Rd hdm/man/rlassoIVselectX.Rd hdm/man/summary.rlassoEffects.Rd hdm/man/rlassoIVselectZ.Rd hdm/man/methods.rlassoIVselectZ.Rd hdm/man/cps2012.Rd hdm/man/hdm-package.Rd hdm/man/EminentDomain.Rd hdm/man/Growth-Data.Rd hdm/man/methods.rlasso.Rd hdm/man/methods.rlassoIV.Rd hdm/man/methods.rlassologitEffects.Rd hdm/man/AJR.Rd hdm/man/rlassologit.Rd hdm/man/methods.rlassoEffects.Rd hdm/man/lambdaCalculation.Rd hdm/man/methods.tsls.Rd hdm/man/tsls.Rd hdm/man/methods.rlassoIVselectX.Rd

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