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.
- REndo: Internal Instrumental Variables to Address Endogeneity
- Constructing Instruments for Regressions With Measurement Error When no Additional Data are Available, with An Application to Patents and R&D
- Using Heteroscedasticity to Identify and Estimate Mismeasured and Endogenous Regressor Models
- Handling Endogenous Regressors by Joint Estimation Using Copulas
- Multilevel Modeling with Correlated Effects
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