hdm (0.2.0)

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High-Dimensional Metrics.

http://cran.r-project.org/web/packages/hdm

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.

Maintainer: Martin Spindler
Author(s): Martin Spindler [cre, aut], Victor Chernozhukov [aut], Christian Hansen [aut]

License: GPL-3

Uses: checkmate, Formula, ggplot2, glmnet, MASS, xtable, testthat, knitr

Released 10 months ago.


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