hdm-package: hdm: High-Dimensional Metrics
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hdm-package

R 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.