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>.
| Version: |
0.1.1 |
| Depends: |
R (≥ 4.0) |
| Imports: |
MASS, Matrix, stats |
| Suggests: |
haven |
| Published: |
2025-10-14 |
| DOI: |
10.32614/CRAN.package.fejiv (may not be active yet) |
| 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 |
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