dataHetIV

A dataset with two exogenous regressors,
 <code>X1</code>,<code>X2</code>, one endogenous, continuous regressor <code>P</code>, and the dependent variable <code>y</code>.
 The true parameter values for the coefficients are: <code>b0 = 2</code>, <code>b1 = 1.5</code>,
 <code>b2 = 3</code> and the coefficient of the endogenous regressor, <code>P</code>, is equal to <code>a1 = -1</code>.

datasets

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.

Raluca Gui

REndo

Fitting Linear Models with Endogenous Regressors using Latent
Instrumental Variables

Markus Meierer

Rene Algesheimer

Patrik Schilter

dataHetIV function

A data frame with 2500 observations on 4 variables:<dl>
<dt><code>y</code></dt>
<dd>a numeric vector representing the dependent variable.</dd><dt><code>X1</code></dt>
<dd>a numeric vector, normally distributed and exogenous.</dd><dt><code>X2</code></dt>
<dd>a numeric vector, normally distributed and exogenous.</dd><dt><code>P</code></dt>
<dd>a numeric vector, continuous and endogenous regressor, normally distributed.</dd>
</dl>

Format

Raluca Gui <a href="/link/raluca.gui%40business.uzh.ch?package=REndo&version=2.4.10" data-mini-rdoc="REndo::raluca.gui@business.uzh.ch">raluca.gui@business.uzh.ch</a>

Author

Simulated Dataset with One Endogenous Continuous Regressor — dataHetIV

A data frame with 2500 observations on 4 variables:<dl>
<dt><code>y</code></dt>
<dd>a numeric vector representing the dependent variable.</dd>

<dt><code>X1</code></dt>
<dd>a numeric vector, normally distributed and exogenous.</dd>

<dt><code>X2</code></dt>
<dd>a numeric vector, normally distributed and exogenous.</dd>

<dt><code>P</code></dt>
<dd>a numeric vector, continuous and endogenous regressor, normally distributed.</dd>


</dl>

Raluca Gui <a href='mailto:raluca.gui@business.uzh.ch'>raluca.gui@business.uzh.ch</a>

dataHetIV: Simulated Dataset with One Endogenous Continuous Regressor

Description

Usage

Arguments

Format

Author