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Implements the Fixed Effect Jackknife Instrumental Variables ('FEJIV') estimator of Chao, Swanson, and Woutersen (2023) <doi:10.1016/j.jeconom.2022.12.011>, allowing consistent IV estimation with many (possibly weak) instruments, cluster fixed effects, heteroskedastic errors, and many exogenous covariates. The estimator is recommended by Słoczyński (2024) <doi:10.48550/arXiv.2011.06695> as an alternative to two-stage least squares when estimating the interacted specification of Angrist and Imbens (1995) <doi:10.1080/01621459.1995.10476535>.
Version: | 0.1.1 |
Depends: | R (≥ 4.0) |
Imports: | MASS, Matrix, stats |
Suggests: | haven |
Published: | 2025-10-14 |
DOI: | 10.32614/CRAN.package.fejiv |
Author: | Qihui Lei [aut, cre], Tymon Słoczyński [aut] |
Maintainer: | Qihui Lei <qlei9 at wisc.edu> |
License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
NeedsCompilation: | no |
CRAN checks: | fejiv results |
Reference manual: | fejiv.html , fejiv.pdf |
Package source: | fejiv_0.1.1.tar.gz |
Windows binaries: | r-devel: fejiv_0.1.1.zip, r-release: fejiv_0.1.1.zip, r-oldrel: fejiv_0.1.1.zip |
macOS binaries: | r-release (arm64): fejiv_0.1.1.tgz, r-oldrel (arm64): fejiv_0.1.1.tgz, r-release (x86_64): fejiv_0.1.1.tgz, r-oldrel (x86_64): fejiv_0.1.1.tgz |
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.