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naivereg  

Nonparametric Additive Instrumental Variable Estimator and Related IV Methods
View on CRAN: Click here


Download and install naivereg package within the R console
Install from CRAN:
install.packages("naivereg")

Install from Github:
library("remotes")
install_github("cran/naivereg")

Install by package version:
library("remotes")
install_version("naivereg", "1.0.5")



Attach the package and use:
library("naivereg")
Maintained by
Qingliang Fan
[Scholar Profile | Author Map]
First Published: 2018-02-20
Latest Update: 2020-03-18
Description:
In empirical studies, instrumental variable (IV) regression is the signature method to solve the endogeneity problem. If we enforce the exogeneity condition of the IV, it is likely that we end up with a large set of IVs without knowing which ones are good. Also, one could face the model uncertainty for structural equation, as large micro dataset is commonly available nowadays. This package uses adaptive group lasso and B-spline methods to select the nonparametric components of the IV function, with the linear function being a special case (naivereg). The package also incorporates two stage least squares estimator (2SLS), generalized method of moment (GMM), generalized empirical likelihood (GEL) methods post instrument selection, logistic-regression instrumental variables estimator (LIVE, for dummy endogenous variable problem), double-selection plus instrumental variable estimator (DS-IV) and double selection plus logistic regression instrumental variable estimator (DS-LIVE), where the double selection methods are useful for high-dimensional structural equation models. The naivereg is nonparametric version of 'ivregress' in 'Stata' with IV selection and high dimensional features. The package is based on the paper by Q. Fan and W. Zhong, "Nonparametric Additive Instrumental Variable Estimator: A Group Shrinkage Estimation Perspective" (2018), Journal of Business & Economic Statistics as well as a series of working papers led by the same authors.
How to cite:
Qingliang Fan (2018). naivereg: Nonparametric Additive Instrumental Variable Estimator and Related IV Methods. R package version 1.0.5, https://cran.r-project.org/web/packages/naivereg. Accessed 01 May. 2025.
Previous versions and publish date:
1.0.1 (2018-02-20 11:11), 1.0.2 (2019-11-03 16:50), 1.0.4 (2020-02-20 10:20)
Other packages that cited naivereg R package
View naivereg citation profile
Other R packages that naivereg depends, imports, suggests or enhances
Complete documentation for naivereg
Functions, R codes and Examples using the naivereg R package
Some associated functions: DSIV . DSIVdata . DSLIVE . DSLIVEdata . IVselect . LIVE . LIVEdata . TradeAndGrowthData . naive.gel . naive.gmm . naivedata . naivereg . 
Some associated R codes: DSIV.R . DSLIVE.R . IVbs.R . IVselect.R . LIVE.R . estiv.R . naivegmm.R . naviegel.R . naviereg.R .  Full naivereg package functions and examples
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