hdm: High-Dimensional Metrics

Implementation of selected high-dimensional statistical and econometric methods for estimation and inference. Efficient estimators and uniformly valid confidence intervals for various low-dimensional causal/ structural parameters are provided which appear in high-dimensional approximately sparse models. Including functions for fitting heteroscedastic robust Lasso regressions with non-Gaussian errors and for instrumental variable (IV) and treatment effect estimation in a high-dimensional setting. Moreover, the methods enable valid post-selection inference and rely on a theoretically grounded, data-driven choice of the penalty. Chernozhukov, Hansen, Spindler (2016) <doi:10.48550/arXiv.1603.01700>.

Version: 0.3.2
Depends: R (≥ 3.0.0)
Imports: MASS, glmnet, ggplot2, checkmate, Formula, methods
Suggests: testthat, knitr, rmarkdown, formatR, xtable, mvtnorm, markdown
Published: 2024-02-14
Author: Martin Spindler [cre, aut], Victor Chernozhukov [aut], Christian Hansen [aut], Philipp Bach [ctb]
Maintainer: Martin Spindler <martin.spindler at gmx.de>
License: MIT + file LICENSE
NeedsCompilation: no
Citation: hdm citation info
Materials: README
In views: CausalInference, Econometrics, MachineLearning
CRAN checks: hdm results

Documentation:

Reference manual: hdm.pdf
Vignettes: High-Dimensional Metrics in R

Downloads:

Package source: hdm_0.3.2.tar.gz
Windows binaries: r-devel: hdm_0.3.2.zip, r-release: hdm_0.3.2.zip, r-oldrel: hdm_0.3.2.zip
macOS binaries: r-release (arm64): hdm_0.3.2.tgz, r-oldrel (arm64): hdm_0.3.2.tgz, r-release (x86_64): hdm_0.3.2.tgz
Old sources: hdm archive

Reverse dependencies:

Reverse depends: tsapp
Reverse imports: causalweight, hdcate

Linking:

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