R-universe - jkurle (Jonas Kurle)

robust2sls - Outlier Robust Two-Stage Least Squares Inference and Testing

An implementation of easy tools for outlier robust inference in two-stage least squares (2SLS) models. The user specifies a reference distribution against which observations are classified as outliers or not. After removing the outliers, adjusted standard errors are automatically provided. Furthermore, several statistical tests for the false outlier detection rate can be calculated. The outlier removing algorithm can be iterated a fixed number of times or until the procedure converges. The algorithms and robust inference are described in more detail in Jiao (2019) <https://drive.google.com/file/d/1qPxDJnLlzLqdk94X9wwVASptf1MPpI2w/view>.

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4.56 score 1 stars 24 scripts 339 downloads

ivgets - General to Specific Modeling and Indicator Saturation in 2SLS Models

Provides facilities of general to specific model selection for exogenous regressors in 2SLS models. Furthermore, indicator saturation methods can be used to detect outliers and structural breaks in the sample.

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3.70 score 1 stars 7 scripts 296 downloads