hdm: High-Dimensional Metrics
Version 0.2.2

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 publication2017-04-05 14:01:27
MaintainerMartin Spindler <spindler@mea.mpisoc.mpg.de>
LicenseMIT + file LICENSE
Version0.2.2
Package repositoryView on R-Forge
InstallationInstall the latest version of this package by entering the following in R:
install.packages("hdm", repos="http://R-Forge.R-project.org")

Getting started

Package overview

Popular man pages

BLP: BLP data set
Growth-Data: Growth data set
hdm-package: hdm: High-Dimensional Metrics
pension: Pension 401(k) data set
rlassoEffects: rigorous Lasso for Linear Models: Inference
TE: Functions for estimation of treatment effects
tsls: Two-Stage Least Squares Estimation (TSLS)
See all...

All man pages Function index File listing

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)

Functions

Files

DESCRIPTION
LICENSE
NAMESPACE
R
R/LassoShooting.fit.R
R/help_functions.R
R/pkg-package.R
R/rlasso.R
R/rlassoEffects.R
R/rlassoIV.R
R/rlassoIVselectX.R
R/rlassoIVselectZ.R
R/rlassologit.R
R/rlassologitEffect.R
R/rlassotreatment.R
R/tsls.R
build
build/vignette.rds
data
data/AJR.rda
data/BLP.rda
data/EminentDomain.rda
data/GrowthData.rda
data/cps2012.rda
data/datalist
data/pension.rda
inst
inst/CITATION
inst/doc
inst/doc/hdm_introduction.Rnw
inst/doc/hdm_introduction.pdf
man
man/AJR.Rd
man/BLP.Rd
man/EminentDomain.Rd
man/Growth-Data.Rd
man/LassoShooting.fit.Rd
man/TE.Rd
man/cps2012.Rd
man/hdm-package.Rd
man/lambdaCalculation.Rd
man/methods.rlasso.Rd
man/methods.rlassoEffects.Rd
man/methods.rlassoIV.Rd
man/methods.rlassoIVselectX.Rd
man/methods.rlassoIVselectZ.Rd
man/methods.rlassoTE.Rd
man/methods.rlassologit.Rd
man/methods.rlassologitEffects.Rd
man/methods.tsls.Rd
man/pension.Rd
man/rlasso.Rd
man/rlassoEffects.Rd
man/rlassoIV.Rd
man/rlassoIVselectX.Rd
man/rlassoIVselectZ.Rd
man/rlassologit.Rd
man/rlassologitEffects.Rd
man/summary.rlassoEffects.Rd
man/tsls.Rd
tests
tests/testthat
tests/testthat.R
tests/testthat/DGPs.R
tests/testthat/examples.R
tests/testthat/formula_test.R
tests/testthat/no_test_LassoShooting.fit.R
tests/testthat/no_test_rlasso.R
tests/testthat/no_test_rlasso_MS.R
tests/testthat/no_test_rlasso_predict_MS.R
tests/testthat/no_test_rlassologit_MS.R
tests/testthat/test_LassoShooting.fit.R
tests/testthat/test_rlasso.R
tests/testthat/test_rlassoEffect.R
vignettes
vignettes/econometrica.bst
vignettes/hdm_introduction.Rnw
vignettes/mybib.bib
hdm documentation built on May 21, 2017, 3:43 a.m.

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