hdm: High-Dimensional Metrics

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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.

Author
Martin Spindler [cre, aut], Victor Chernozhukov [aut], Christian Hansen [aut]
Date of publication
2016-10-15 10:30:48
Maintainer
Martin Spindler <spindler@mea.mpisoc.mpg.de>
License
MIT + file LICENSE
Version
0.2.2

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Man pages

AJR
AJR data set
BLP
BLP data set
cps2012
cps2012 data set
EminentDomain
Eminent Domain data set
Growth-Data
Growth data set
hdm-package
hdm: High-Dimensional Metrics
lambdaCalculation
Function for Calculation of the penalty parameter
LassoShooting.fit
Shooting Lasso
methods.rlasso
Methods for S3 object 'rlasso'
methods.rlassoEffects
Methods for S3 object 'rlassoEffects'
methods.rlassoIV
Methods for S3 object 'rlassoIV'
methods.rlassoIVselectX
Methods for S3 object 'rlassoIVselectX'
methods.rlassoIVselectZ
Methods for S3 object 'rlassoIVselectZ'
methods.rlassologit
Methods for S3 object 'rlassologit'
methods.rlassologitEffects
Methods for S3 object 'rlassologitEffects'
methods.rlassoTE
Methods for S3 object 'rlassoTE'
methods.tsls
Methods for S3 object 'tsls'
pension
Pension 401(k) data set
rlasso
rlasso: Function for Lasso estimation under homoscedastic and...
rlassoEffects
rigorous Lasso for Linear Models: Inference
rlassoIV
Post-Selection and Post-Regularization Inference in Linear...
rlassoIVselectX
Instrumental Variable Estimation with Selection on the...
rlassoIVselectZ
Instrumental Variable Estimation with Lasso
rlassologit
rlassologit: Function for logistic Lasso estimation
rlassologitEffects
rigorous Lasso for Logistic Models: Inference
summary.rlassoEffects
Summarizing rlassoEffects fits
TE
Functions for estimation of treatment effects
tsls
Two-Stage Least Squares Estimation (TSLS)

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