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. Chernozhukov, Hansen, Spindler (2016) <arXiv:1603.01700>.

Package details

AuthorMartin Spindler [cre, aut], Victor Chernozhukov [aut], Christian Hansen [aut], Philipp Bach [ctb]
MaintainerMartin Spindler <[email protected]>
LicenseMIT + file LICENSE
Package repositoryView on R-Forge
Installation Install the latest version of this package by entering the following in R:
install.packages("hdm", repos="http://R-Forge.R-project.org")

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hdm documentation built on Dec. 8, 2018, 3 a.m.