REndo

Fitting Linear Models with Endogenous Regressors using Latent Instrumental Variables

Raluca Gui, Markus Meierer, Rene Algesheimer, Patrik Schilter

Last update: 5 September 2023

Software version identifier: 2.4.8, 1.0, 1.1, 1.2, 1.3, 2.0.0, 2.1.0, 2.2.0, 2.2.1, 2.3.0, 2.3.1, 2.4.0, 2.4.1, 2.4.2, 2.4.3, 2.4.5, 2.4.6, 2.4.7, 2.4.9

Source code repository: https://github.com/cran/REndo

Copyright license: GNU General Public License, version 3.0

Description

Fits linear models with endogenous regressor using latent instrumental variable approaches. The methods included in the package are Lewbel's (1997) <doi:10.2307/2171884> higher moments approach as well as Lewbel's (2012) <doi:10.1080/07350015.2012.643126> heteroscedasticity approach, Park and Gupta's (2012) <doi:10.1287/mksc.1120.0718> joint estimation method that uses Gaussian copula and Kim and Frees's (2007) <doi:10.1007/s11336-007-9008-1> 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. See the publication related to this package in the Journal of Statistical Software for more details: <doi:10.18637/jss.v107.i03>. Note that with version 2.0.0 sweeping changes were introduced which greatly improve functionality and usability but break backwards compatibility.

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