hdm: High-Dimensional Metrics

Implementation of selected high-dimensional statistical and econometric methods for estimation and inference. Efficient estimators and uniformly valid confidence intervals for various low-dimensional causal/ structural parameters are provided which appear in high-dimensional approximately sparse models. Including functions for fitting heteroscedastic robust Lasso regressions with non-Gaussian errors and for instrumental variable (IV) and treatment effect estimation in a high-dimensional setting. Moreover, the methods enable valid post-selection inference and rely on a theoretically grounded, data-driven choice of the penalty.

AuthorMartin Spindler [cre, aut], Victor Chernozhukov [aut], Christian Hansen [aut]
Date of publication2016-10-15 10:30:48
MaintainerMartin Spindler <spindler@mea.mpisoc.mpg.de>
LicenseMIT + file LICENSE
Version0.2.2

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Files in this package

hdm/DESCRIPTION
hdm/LICENSE
hdm/NAMESPACE
hdm/R
hdm/R/LassoShooting.fit.R hdm/R/help_functions.R hdm/R/pkg-package.R hdm/R/rlasso.R hdm/R/rlassoEffects.R hdm/R/rlassoIV.R hdm/R/rlassoIVselectX.R hdm/R/rlassoIVselectZ.R hdm/R/rlassologit.R hdm/R/rlassologitEffect.R hdm/R/rlassotreatment.R hdm/R/tsls.R
hdm/build
hdm/build/vignette.rds
hdm/data
hdm/data/AJR.rda
hdm/data/BLP.rda
hdm/data/EminentDomain.rda
hdm/data/GrowthData.rda
hdm/data/cps2012.rda
hdm/data/datalist
hdm/data/pension.rda
hdm/inst
hdm/inst/CITATION
hdm/inst/doc
hdm/inst/doc/hdm_introduction.Rnw
hdm/inst/doc/hdm_introduction.pdf
hdm/man
hdm/man/AJR.Rd hdm/man/BLP.Rd hdm/man/EminentDomain.Rd hdm/man/Growth-Data.Rd hdm/man/LassoShooting.fit.Rd hdm/man/TE.Rd hdm/man/cps2012.Rd hdm/man/hdm-package.Rd hdm/man/lambdaCalculation.Rd hdm/man/methods.rlasso.Rd hdm/man/methods.rlassoEffects.Rd hdm/man/methods.rlassoIV.Rd hdm/man/methods.rlassoIVselectX.Rd hdm/man/methods.rlassoIVselectZ.Rd hdm/man/methods.rlassoTE.Rd hdm/man/methods.rlassologit.Rd hdm/man/methods.rlassologitEffects.Rd hdm/man/methods.tsls.Rd hdm/man/pension.Rd hdm/man/rlasso.Rd hdm/man/rlassoEffects.Rd hdm/man/rlassoIV.Rd hdm/man/rlassoIVselectX.Rd hdm/man/rlassoIVselectZ.Rd hdm/man/rlassologit.Rd hdm/man/rlassologitEffects.Rd hdm/man/summary.rlassoEffects.Rd hdm/man/tsls.Rd
hdm/tests
hdm/tests/testthat
hdm/tests/testthat.R
hdm/tests/testthat/DGPs.R
hdm/tests/testthat/examples.R
hdm/tests/testthat/formula_test.R
hdm/tests/testthat/no_test_LassoShooting.fit.R
hdm/tests/testthat/no_test_rlasso.R
hdm/tests/testthat/no_test_rlasso_MS.R
hdm/tests/testthat/no_test_rlasso_predict_MS.R
hdm/tests/testthat/no_test_rlassologit_MS.R
hdm/tests/testthat/test_LassoShooting.fit.R
hdm/tests/testthat/test_rlasso.R
hdm/tests/testthat/test_rlassoEffect.R
hdm/vignettes
hdm/vignettes/econometrica.bst
hdm/vignettes/hdm_introduction.Rnw
hdm/vignettes/mybib.bib

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