civ
From MaRDI portal
Software:5979116
Categorical Instrumental Variables
Last update: 8 December 2023
Software version identifier: 0.1.0
Copyright license: GNU General Public License
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.
