livREndo-class

This class is used to store and further analyze the results of the latentIV function

internal

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>
heteroskedasticity 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.
This version:
- solves an error occurring when using the multilevelIV() function with two levels, random intercept.
- returns the AIC and BIC for copulaCorrection() (method 1) and latentIV() methods.
- residuals and fitted values can be saved by users for latentIV() and copulaCorrection() methods.
- improves the summary methods for copulaCorrection() and multilevelIV() functions.

Raluca Gui

REndo

Fitting Linear Models with Endogenous Regressors using Latent
Instrumental Variables

livREndo-class function

 <dl class="dl-horizontal">
<dt><code>call</code></dt><dd>- function call.</dd> <dt><code>formula</code></dt><dd>- model formula.</dd> <dt><code>coefficients</code></dt><dd>- estimated coefficients.</dd> <dt><code>seCoefficients</code></dt><dd>- standard error of the estimates.</dd> <dt><code>fitted.values</code></dt><dd>- fitted values.</dd> <dt><code>residuals</code></dt><dd>- estimation residuals.</dd> <dt><code>groupMeans</code></dt><dd>- estimates means of the assumed latent groups.</dd> <dt><code>seMeans</code></dt><dd>- standard errors of the estimates of the groups&#39; means.</dd> <dt><code>sigma</code></dt><dd>-  variance -covariance matrix.</dd> <dt><code>probG1</code></dt><dd>- probability of group 1.</dd> <dt><code>seProbG1</code></dt><dd>- standard error of the estimate of the probability of group 1.</dd> <dt><code>initValues</code></dt><dd>- initial values of the parameters.</dd> <dt><code>value</code></dt><dd>- the value of the maximum likelihood function.</dd> <dt><code>AIC</code></dt><dd>- Akaike Information Criterion.</dd> <dt><code>BIC</code></dt><dd>- Bayesian Information Criterion.</dd> <dt><code>convCode</code></dt><dd>- convergence code. If equalt to zero the model has converged.</dd> <dt><code>hessian</code></dt><dd>- the hessian matrix.</dd> <dt><code>dataset</code></dt><dd>- a matrix containing the dependent variable and the endogenous regressor.</dd>
</dl>

livREndo-class: latentIV Object

Description

Arguments

Slots

Examples