[R-pkgs] new ivreg package for 2SLS regression with diagnostics

John Fox j|ox @end|ng |rom mcm@@ter@c@
Thu Sep 3 19:36:05 CEST 2020

Dear list members,

Christian Kleiber, Achim Zeileis, and I would like to announce a new 
CRAN package, ivreg, which provides a comprehensive implementation of 
instrumental variables estimation using two-stage least-squares (2SLS) 

The standard regression functionality (parameter estimation, inference, 
robust covariances, predictions, etc.) in the package is derived from 
and supersedes the ivreg() function in the AER package. Additionally, 
various regression diagnostics are supported, including hat values, 
deletion diagnostics such as studentized residuals and Cook's distances; 
graphical diagnostics such as component-plus-residual plots and 
added-variable plots; and effect plots with partial residuals. In order 
to provide these features, the ivreg package integrates seamlessly with 
other packages through suitable S3 methods, specifically for generic 
functions in the base-R stats package, and in the car, effects, lmtest, 
and sandwich packages, among others.

The ivreg package is accompanied by two online vignettes: a brief 
general introduction to the package, and an introduction to the 
regression diagnostics and graphics that are provided.

For more information, see the ivreg CRAN webpage at 
<https://cran.r-project.org/package=ivreg> and the ivreg pkgdown webpage 
at <https://john-d-fox.github.io/ivreg/>.

Comments, suggestions, and bug reports would be appreciated.


John Fox, Professor Emeritus
McMaster University
Hamilton, Ontario, Canada
web: https://socialsciences.mcmaster.ca/jfox/

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