[R-pkgs] new ivreg package for 2SLS regression with diagnostics

Previous Topic Next Topic
 
classic Classic list List threaded Threaded
1 message Options
Reply | Threaded
Open this post in threaded view
|

[R-pkgs] new ivreg package for 2SLS regression with diagnostics

Fox, John
Dear list members,

Christian Kleiber, Achim Zeileis, and I would like to announce a new
CRAN package, ivreg, which provides a comprehensive implementation of
instrumental variables estimation using two-stage least-squares (2SLS)
regression.

The standard regression functionality (parameter estimation, inference,
robust covariances, predictions, etc.) in the package is derived from
and supersedes the ivreg() function in the AER package. Additionally,
various regression diagnostics are supported, including hat values,
deletion diagnostics such as studentized residuals and Cook's distances;
graphical diagnostics such as component-plus-residual plots and
added-variable plots; and effect plots with partial residuals. In order
to provide these features, the ivreg package integrates seamlessly with
other packages through suitable S3 methods, specifically for generic
functions in the base-R stats package, and in the car, effects, lmtest,
and sandwich packages, among others.

The ivreg package is accompanied by two online vignettes: a brief
general introduction to the package, and an introduction to the
regression diagnostics and graphics that are provided.

For more information, see the ivreg CRAN webpage at
<https://cran.r-project.org/package=ivreg> and the ivreg pkgdown webpage
at <https://john-d-fox.github.io/ivreg/>.

Comments, suggestions, and bug reports would be appreciated.

John

--
John Fox, Professor Emeritus
McMaster University
Hamilton, Ontario, Canada
web: https://socialsciences.mcmaster.ca/jfox/

_______________________________________________
R-packages mailing list
[hidden email]
https://stat.ethz.ch/mailman/listinfo/r-packages

______________________________________________
[hidden email] mailing list -- To UNSUBSCRIBE and more, see
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.