John Fox
2020-Sep-03 17:36 UTC
[R-pkgs] new ivreg package for 2SLS regression with diagnostics
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/