CRAN

naivereg 1.0.1

Nonparametric Additive Instrumental Variable Estimator: A Group Shrinkage Estimation Perspective

Released Feb 20, 2018 by Qingliang Fan

This package can be loaded by Renjin but all tests failed.

Dependencies

grpreg 3.1-4 gmm 1.6-2

In empirical studies, instrumental variable (IV) regression is the signature method to solve the endogeneity problem. If we enforce the exogeneity condition of the IV, it is likely that we end up with a large set of IVs without knowing which ones are good. This package uses adaptive group lasso and B-spline methods to select the nonparametric components of the IV function, with the linear function being a special case. The package incorporates two stage least squares estimator (2SLS), generalized method of moment (GMM), generalized empirical likelihood (GEL) methods post instrument selection. It is nonparametric version of 'ivregress' in 'Stata' with IV selection and high dimensional features. The package is based on the paper "Nonparametric Additive Instrumental Variable Estimator: A Group Shrinkage Estimation Perspective" (2017) published online in Journal of Business & Economic Statistics .

Installation

Maven

This package can be included as a dependency from a Java or Scala project by including the following your project's pom.xml file. Read more about embedding Renjin in JVM-based projects.

<dependencies>
  <dependency>
    <groupId>org.renjin.cran</groupId>
    <artifactId>naivereg</artifactId>
    <version>1.0.1-b6</version>
  </dependency>
</dependencies>
<repositories>
  <repository>
    <id>bedatadriven</id>
    <name>bedatadriven public repo</name>
    <url>https://nexus.bedatadriven.com/content/groups/public/</url>
  </repository>
</repositories>

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Renjin CLI

If you're using Renjin from the command line, you load this library by invoking:

library('org.renjin.cran:naivereg')

Test Results

This package was last tested against Renjin 0.9.2689 on Aug 26, 2018.

Source

R

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Release History