README.md

In kolesarm/GMMSensitivity: Optimal Sensitivity Analysis in Generalized Method of Moments Models

GMMSensitivity

Estimators and confidence intervals for sensitivity analysis in moment condition models using procedures from Armstrong and Kolesár (2020).

See the package vignette for a description of the package (available through vignette("GMMSensitivity") once package is installed), and the package manual for documentation of the package functions.

This software package is based upon work supported by the National Science Foundation under grant numbers SES-1628939 (Armstrong) and SES-1628878 (Kolesár).

Installation

You can install the development version from GitHub:

if (!requireNamespace("remotes")) {
  install.packages("remotes")
}
remotes::install_github("kolesarm/GMMSensitivity")

• This packages uses the CVXR package for testing the package functions (the CVXR package is not needed to actually use GMMSensitivity). If you'd like to run these tests locally, you therefore need to install the CVXR package. In turn, the CVXR package package depends on the Rmpfr package (it's a dependency of the CVXR package that this package uses). In order to install this package, the system library libmpfr-dev needs to be installed. On Ubuntu/Debian, the library can be installed by running sudo apt-get install libmpfr-dev.

kolesarm/GMMSensitivity documentation built on Sept. 17, 2020, 5:47 p.m.