Introduction | Simulated data | Estimation | Heteroskedasticity-IV without controls | Heteroskedasticity-IV with controls | Proxy-IV | Proxy-IV with recursive zero restriction | Impact matrices | Impulse response functions | Impulse responses with confidence intervals | HET-IV estimates versus true IRF | HET-IV estimates versus misspecified model | HET-IV versus Proxy-IV | Proxy-SVAR with bootstrap bands | Shock extraction | Prediction from several horizons | Weak instrument test | References
This package is hidden from search results because it is not hosted in the universe of the upstream owner
dankaufmann. To fix this you can add URL: https://marcburri.r-universe.dev/hetiv to the package DESCRIPTION file. See also theR-universe documentation.Package: hetiv 0.1.3
Daniel Kaufmann
hetiv: Heteroskedasticity and Proxy-Based IV Methods
Tools for identifying structural shocks using heteroskedasticity- and proxy-based instrumental variable (IV) methods in event-study settings. Supports local projection impulse response estimation of Jorda (2005) <doi:10.1257/0002828053828518>, generalised weak instrument testing of Lewis and Mertens (2025) <doi:10.1093/restud/rdaf103>, recursive heteroskedasticity-IV identification of Burri and Kaufmann (2026b) <doi:10.1016/j.econlet.2026.113091>, and Kalman-filter shock extraction of Burri and Kaufmann (2026a).
Authors:
hetiv_0.1.3.tar.gz
hetiv_0.1.3.zip(r-4.7-any)hetiv_0.1.3.zip(r-4.6-any)hetiv_0.1.3.zip(r-4.5-any)
hetiv_0.1.3.tgz(r-4.6-any)hetiv_0.1.3.tgz(r-4.5-any)
hetiv_0.1.3.tar.gz(r-4.7-any)hetiv_0.1.3.tar.gz(r-4.6-any)
hetiv_0.1.3.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
hetiv/json (API)
| # Install 'hetiv' in R: |
| install.packages('hetiv', repos = c('https://marcburri.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/dankaufmann/hetiv/issues
Pkgdown/docs site:https://dankaufmann.github.io
Last updated from:5ae3b67a36 (on main). Checks:9 OK. Indexed: no.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel | OK | 137 | ||
| source / vignettes | OK | 521 | ||
| linux-release | OK | 165 | ||
| macos-release | OK | 119 | ||
| macos-oldrel | OK | 143 | ||
| windows-devel | OK | 104 | ||
| windows-release | OK | 127 | ||
| windows-oldrel | OK | 115 | ||
| wasm-release | OK | 143 |
Exports:arrangeirfcomputeirffilllinearfirstdiffgweakivtesthetivkfpredictlogdiffnormalizeplot2irfplotirfplotpvalproxyivrecolssimulatedatasvariv
Dependencies:abindbackportsbootbroomcarcarDataclicolorspacecowplotcpp11DerivdoBydplyrfarverforecastFormulafracdiffgenericsggplot2gluegridExtragtableisobandivreglabelinglatticelifecyclelme4lmtestmagrittrMASSMatrixMatrixModelsmgcvminqamodelrnlmenloptrnnetnumDerivpbkrtestpillarpkgconfigpurrrquantregR6rbibutilsRColorBrewerRcppRcppArmadilloRcppEigenRdpackreformulasrlangS7sandwichscalesSparseMstringistringrsurvivaltibbletidyrtidyselecttimeDateurcautf8vctrsviridisLitewithrzoo
