ivmodels

ivmodels is a Python library for instrumental variable estimation. It implements

• K-Class estimators, including the Limited Information Maximum Likelihood (LIML) estimator and the Two-Stage Least Squares (TSLS) estimator.

• Tests and confidence sets for the parameters of the model, including the Anderson-Rubin test, the the Lagrange multiplier test, the (conditional) likelihood-ratio test, and the Wald test.

• Auxiliary tests such as Anderson’s (1951) test of reduced rank (a multivariate extension of the first-stage F-test) and the J-statistic (including its LIML variant).

Installation

You can install the package through conda

conda install ivmodels -c conda-forge

or through pip

pip install ivmodels

Examples

• Card (1993) Using Geographic Variation in College Proximity to Estimate the Return to Schooling
• Tanaka, Camerer, Nguyen (2010) Risk and time preferences: Linkining experimental and household survey data from vietnam
• Angrist and Krueger (1991) Does Compulsory School Attendance Affect Schooling and Earnings?
• Acemoglu, Johnson, and Robinson (2001) The Colonial Origins of Comparative Development: An Empirical Investigation

API reference

• API
  • Estimators
  • Tests
  • Summary
  • ConfidenceSet
  • Quadric
  • Bibliography

Other

• GitHub
• Changelog