Rgui/REndo_1.0: Fitting Linear Models with Endogenous Regressors when No External Instruments Are Available

Fits linear models with endogenous regressors using Internal Instrumental Variables (IIV) methods. These are statistical techniques to correct for endogeneity when no strong, valid external instrumental variables are available. The first version of the package offers two methods, the Latent Instrumental Variables (Ebbes et al., 2005) and Lewbel's higher moments approach (Lewbel, 1997). In a second version of the package, two other methods will be added, joint estimation using copulas (Park and Gupta, 2012) and multilevel GMM (Kim and Frees, 2007).

Getting started

Package details

AuthorRaluca Gui, Markus Meierer, Rene Algesheimer
MaintainerRaluca Gui <[email protected]>
LicenseGPL-3
Version1.0
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("devtools")
library(devtools)
install_github("Rgui/REndo_1.0")
Rgui/REndo_1.0 documentation built on May 10, 2017, 9:16 a.m.