Module Reference¶
Instrumental Variable Estimation¶
| Estimation of IV models using two-stage least squares |
| Limited information ML and k-class estimation of IV models |
| Estimation of IV models using the generalized method of moments (GMM) |
| Estimation of IV models using continuously updating GMM |
| Computes OLS estimates when required |
Absorbing Least Squares¶
OLS and WLS with high-dimensional effects.
| Linear regression with high-dimensional effects |
| Results from IV estimation |
| Class that simplifies specifying interactions |
Estimation Results¶
| Results from IV estimation |
| Results from GMM estimation of IV models |
| Results from OLS model estimation |
| Comparison of multiple models |
| First stage estimation results and diagnostics |
| Compare the results of multiple models |
Instrumental Variable Covariance Estimation¶
| Covariance estimation for homoskedastic data |
| Covariance estimation for heteroskedastic data |
| Covariance estimation for clustered data |
| Kernel weighted (HAC) covariance estimation |
Kernel Weight Generators¶
| Kernel weights from a Bartlett kernel |
| Kernel weights from a Parzen kernel |
Kernel weights from a quadratic-spectral kernel | |
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GMM Weight and Covariance Estimation¶
| Covariance estimation for GMM models |
| Homoskedastic (unadjusted) weight estimation |
| Heteroskedasticity robust weight estimation |
| Heteroskedasticity, autocorrelation robust weight estimation |
| Clustered (one-way) weight estimation |
IV Data Structures¶
| Type abstraction for use in univariate models. |