hdm-package

hdm: High-Dimensional Metrics

hdm: High-Dimensional Metrics

This package implements methods for estimation and inference in a high-dimensional setting. package

Details

Package:hdm
Type:Package
Version:0.1
Date:2015-05-25
License:GPL-3

This package provides efficient estimators and uniformly valid confidence intervals for various low-dimensional causal/structural parameters appearing in high-dimensional approximately sparse models. The package includes functions for fitting heteroskedastic robust Lasso regressions with non-Gaussian erros and for instrumental variable (IV) and treatment effect estimation in a high-dimensional setting. Moreover, the methods enable valid post-selection inference. Moreover, a theoretically grounded, data-driven choice of the penalty level is provided.

Author(s)

Maintainer : Martin Spindler martin.spindler@gmx.de

Authors:

  • Victor Chernozhukov
  • Christian Hansen

Other contributors:

  • Maintainer: Martin Spindler
  • License: MIT + file LICENSE
  • Last published: 2024-02-14

Useful links