REndo (1.3)

Fitting Linear Models with Endogenous Regressors using Latent Instrumental Variables.

Fits linear models with endogenous regressor using latent instrumental variable approaches. The methods included in the package are Lewbel's (1997) higher moments approach as well as Lewbel's (2012) heteroskedasticity approach, Park and Gupta's (2012) joint estimation method that uses Gaussian copula and Kim and Frees's (2007) multilevel generalized method of moment approach that deals with endogeneity in a multilevel setting. These are statistical techniques to address the endogeneity problem where no external instrumental variables are needed. This version: - includes an omitted variable test in the multilevel estimation. It is reported in the summary() function of the multilevelIV() function. - resolves the error "Error in listIDs[, 1] : incorrect number of dimensions" when using the multilevelIV() function. - a new simulated dataset is provided, dataMultilevelIV, on which to exemplify the multilevelIV() function.

Maintainer: Raluca Gui
Author(s): Raluca Gui, Markus Meierer, Rene Algesheimer

License: GPL-3

Uses: AER, corpcor, data.table, e1071, gmm, lme4, lmtest, Matrix, mvtnorm, optimx, plyr, sandwich

Released about 2 years ago.