civ (Q5979116)
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Categorical Instrumental Variables
Language | Label | Description | Also known as |
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English | civ |
Categorical Instrumental Variables |
Statements
Implementation of the categorical instrumental variable (CIV) estimator proposed by Wiemann (2023) <arXiv:2311.17021>. CIV allows for optimal instrumental variable estimation in settings with relatively few observations per category. To obtain valid inference in these challenging settings, CIV leverages a regularization assumption that implies existence of a latent categorical variable with fixed finite support achieving the same first stage fit as the observed instrument.
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8 December 2023
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