dataHigherMoments

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 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:
- includes an omitted variable test in the multilevel estimation. It is reported in the summary() function of the
multilevelIV() function.
- resolves the error "Error in listIDs[, 1] : incorrect number of dimensions" when using the multilevelIV() function.
- a new simulated dataset is provided, dataMultilevelIV, on which to exemplify the multilevelIV() function.

Raluca Gui

REndo

Fitting Linear Models with Endogenous Regressors using Latent
Instrumental Variables

dataHigherMoments function

A data frame with 2500 observations on the following 4 variables.<dl class="dl-horizontal">
 <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, representing an endogenous regressor.</dd>
 </dl>

Format

Simulated Dataset — dataHigherMoments

A data frame with 2500 observations on the following 4 variables.<dl class='dl-horizontal'>
 <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, representing an endogenous regressor.</dd>
 </dl>

dataHigherMoments: Simulated Dataset

Description

Usage

Arguments

Format

See Also