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.
optimx, mvtnorm, AER, e1071, stats, corpcor, lme4, gmm,
lmtest, plyr, sandwich, Matrix
'checkAssumptions.R' 'cop_Cont1.R' 'cop_Cont2.R'
'cop_Discrete.R' 'cop_bootsSE.R' 'cop_logLik.R' 'cop_pStar.R'
'copulaCorrection.R' 'copulaCorrection_class.R'
'f_hetErrorsIV.R' 'f_multilevelGMM.R' 'hetErrorsIV.R'
'hetErrorsIV_class.R' 'higherMomentsIV.R' 'internalIV.R'
'latentIV.R' 'latentIV_class.R' 'latentIV_loglik.R'
'methods_copulaCorrection.R' 'methods_hetErrorsIV.R'
'methods_latentIV.R' 'methods_multilevelIV.R' 'multilevelIV.R'
'mixedGMM.R' 'multilevelIV_class.R' 'tScores.R'

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.
optimx, mvtnorm, AER, e1071, stats, corpcor, lme4, gmm,
lmtest, plyr, sandwich, compiler, data.table, Matrix