hdm-package: hdm: High-Dimensional Metrics

hdm-packageR Documentation

hdm: High-Dimensional Metrics

Description

This package implements methods for estimation and inference in a high-dimensional setting.

Details

Package: hdm
Type: Package
Version: 0.1
Date: 2015-05-25
License: GPL-3

This package provides efficient estimators and uniformly valid confidence intervals for various low-dimensional causal/structural parameters appearing in high-dimensional approximately sparse models. The package includes functions for fitting heteroskedastic robust Lasso regressions with non-Gaussian erros and for instrumental variable (IV) and treatment effect estimation in a high-dimensional setting. Moreover, the methods enable valid post-selection inference. Moreover, a theoretically grounded, data-driven choice of the penalty level is provided.

Author(s)

Maintainer: Martin Spindler martin.spindler@gmx.de

Authors:

  • Victor Chernozhukov

  • Christian Hansen

Other contributors:


hdm documentation built on May 29, 2024, 3:35 a.m.