micsr-package: *micsr* : Microeconometrics with R

In micsr: Microeconometrics with R

micsr : Microeconometrics with R

Description

The micsr package is the companion package to the book "Microeconometrics with R" (Chapman and Hall/CRC The R Series). It includes function to estimate and to test models, miscellanous tools and data sets:

Details

• functions to estimate models:

  • binomreg: binomial regression models, Rivers and Vuong (1988),

  • bivprobit: bivariate probit model

  • clm: constrained linear models,

  • escount: endogenous switching and selection model for count data, Terza (1998),

  • expreg: exponential conditional mean models, Mullahy (1997),

  • loglm: log-linear models,

  • ordreg: ordered regression models,

  • poisreg: poisson models,

  • pscore: matching, Dehejia and Wahba (2002),

  • tobit1: tobit-1 model, Tobin (1958), Smith and Blundel (1986), Powel (1986).

• functions for statistical tests and diagnostic:

  • cmtest: conditional moment tests, Newey (1985), Tauchen (1985),

  • ftest: F statistic,

  • hausman: Hausman's test, Hausman (1978),

  • ndvuong: non-degenerate Vuong test, Vuong (1989), Shi (2015),

  • rsq: different flavors of R squared,

  • sargan: Sargan's test, Sargan (1958),

  • scoretest: score, or Lagrange multiplier test.

• miscellanous tools

  • gaze: print a short summary of an object,

  • dummy: generate a set of dummy variables from a factor,

  • newton: Newton-Raphson optimization method, using the analytical gradient and hessian,

  • mills: compute the inverse mills ratio and its first two derivatives,

  • stder: extract the standard errors of a fitted model,

  • npar: extract the number of parameters in a fitted model.

• data sets:

  • apples: Apple production, Ivaldi and al. (1996), constrained linear model,

  • birthwt: Cigarette smoking and birth weigth, Mullahy (1997), exponentional conditional mean regression model,

  • charitable: Intergenerational transmission of charitable giving, Wilhem (2008), Tobit-1 model,

  • cigmales: Cigarettes consumption and smoking habits, Mullahy (1997), exponentional conditional mean regression mdodel,

  • drinks: Physician advice on alcohol consumption, Kenkel and Terza (2001), endogenous switching model for count data,

  • ferediv: Foreign exchange derivatives use by large US bank holding companies, Adkins (2012), instrumental variable probit model,

  • fin_reform: Political economy of financial reforms, Abiad and Mody (2005), ordered regression model,

  • housprod: Household production, Kerkhofs and Kooreman (2003), bivariate probit model,

  • mode_choice: Choice between car and transit, Horowitz (1993), probit model,

  • trade_protection: Lobying and trade protection, Atschke and Sherlund (2006), instrumental variable Tobit-1 model,

  • trips: Determinants of household trip taking, Terza (1998), endogenous switching model for count data,

  • turnout: Turnout in Texas liquor referenda, Coate and Conlin (2004), non-degenerate Vuong test,

  • twa: Temporary help jobs and permanent employment, Ichino, Mealli and Nannicini (2008), matching.

• vignettes:

  • charitable: Estimating the Tobit-1 model with the charitable data set

  • escount: Endogenous switching or sample selection models for count data

  • expreg: Exponentional conditional mean models with endogeneity

  • ndvvuong: Implementation of Shi's non-degeranate Vuong test

We tried to keep the sets of package on which micsr depends on as small as possible. micsr depends on Formula, generics, Rdpack, knitr, sandwich and on a subset of the tidyverse metapackage (ggplot2, dplyr, purrr, tidyselect, magrittr, tibble, rlang). We borrowed the gaussian quadrature function from the statmod package (Smyth and al., 2023), and the distribution function of quadratic forms in normal variables from the CompQuadForm package (Duchesne and Lafaye, 2010).

References

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micsr documentation built on May 29, 2024, 7:32 a.m.