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Stable documentation for the latest release is located at doc. Documentation for recent developments is located at devel.

Estimation and inference in some common linear models:

Panel Data Models

High-dimensional Regression

Single equation Instrumental Variables (IV) models

  • Two-stage least squares (2SLS, IV2SLS)

  • Limited Information ML (LIML, IVLIML)

  • Generalized Method of Moments (GMM, IVGMM)

  • Continuously Updating GMM (CUE-GMM, IVGMMCUE)

System Regression Estimators

  • Seemingly Unrelated Regression (SUR, SUR)

  • Three-stage Least Squares (3SLS, IV3SLS)

  • Generalized Method of Moments System Estimator (GMM, IVSystemGMM)

Asset Pricing Model Estimation and Testing