dataHMLewbel

A dataset enclosing a dependent variable, <code>y</code>, two exogenous regressors, <code>X1</code> and <code>X2</code> and one endogenous variable, <code>P</code>. The endogenous regressor has to have a non-normal distribution for identification. The model is: 
$$y = b0 + b1 * X1 + b2 * X2 + a1 * P + epsilon$$
True parameter values are <code>b0 = 2, b1 = 1.5, b2 = -3, a1 = -1</code>.

datasets

Fits linear models with endogenous regressors using Internal
Instrumental Variables (IIV) methods. These are statistical techniques to
correct for endogeneity when no strong, valid external instrumental variables
are available. The first version of the package offers two methods, the Latent
Instrumental Variables (Ebbes et al., 2005) and Lewbel's higher moments approach
(Lewbel, 1997). In a second version of the package, two other methods will be
added, joint estimation using copulas (Park and Gupta, 2012) and multilevel GMM
(Kim and Frees, 2007).

dataHMLewbel: Simulated Dataset

Description

Usage

Arguments

See Also