fejiv
Fixed Effect Jackknife Instrumental Variables Estimation
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>.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
0.1.1 |
rolling source/ R- | fejiv_0.1.1.tar.gz |
5.2 KiB |
0.1.1 |
latest source/ R- | fejiv_0.1.1.tar.gz |
5.2 KiB |
0.1.1 |
2026-04-23 source/ R- | fejiv_0.1.1.tar.gz |
5.2 KiB |
0.1.1 |
2026-04-09 windows/windows R-4.5 | fejiv_0.1.1.zip |
23.2 KiB |