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maxLik - Maximum Likelihood Estimation and Related Tools

Functions for Maximum Likelihood (ML) estimation, non-linear optimization, and related tools. It includes a unified way to call different optimizers, and classes and methods to handle the results from the Maximum Likelihood viewpoint. It also includes a number of convenience tools for testing and developing your own models.

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9.16 score 2 stars 120 dependents 33k downloads

systemfit - Estimating Systems of Simultaneous Equations

Econometric estimation of simultaneous systems of linear and nonlinear equations using Ordinary Least Squares (OLS), Weighted Least Squares (WLS), Seemingly Unrelated Regressions (SUR), Two-Stage Least Squares (2SLS), Weighted Two-Stage Least Squares (W2SLS), and Three-Stage Least Squares (3SLS) as suggested, e.g., by Zellner (1962) <doi:10.2307/2281644>, Zellner and Theil (1962) <doi:10.2307/1911287>, and Schmidt (1990) <doi:10.1016/0304-4076(90)90127-F>.

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8.94 score 21 dependents 484 scripts 16k downloads

sampleSelection - Sample Selection Models

Two-step and maximum likelihood estimation of Heckman-type sample selection models: standard sample selection models (Tobit-2), endogenous switching regression models (Tobit-5), sample selection models with binary dependent outcome variable, interval regression with sample selection (only ML estimation), and endogenous treatment effects models. These methods are described in the three vignettes that are included in this package and in econometric textbooks such as Greene (2011, Econometric Analysis, 7th edition, Pearson).

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8.78 score 5 dependents 450 scripts 6.0k downloads

miscTools - Miscellaneous Tools and Utilities

Miscellaneous small tools and utilities. Many of them facilitate the work with matrices, e.g. inserting rows or columns, creating symmetric matrices, or checking for semidefiniteness. Other tools facilitate the work with regression models, e.g. extracting the standard errors, obtaining the number of (estimated) parameters, or calculating R-squared values.

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8.78 score 140 dependents 572 scripts 31k downloads

linprog - Linear Programming / Optimization

Can be used to solve Linear Programming / Linear Optimization problems by using the simplex algorithm.

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8.28 score 170 dependents 101 scripts 19k downloads

censReg - Censored Regression (Tobit) Models

Maximum Likelihood estimation of censored regression (Tobit) models with cross-sectional and panel data.

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7.82 score 1 dependents 189 scripts 4.7k downloads

frontier - Stochastic Frontier Analysis

Maximum Likelihood Estimation of Stochastic Frontier Production and Cost Functions. Two specifications are available: the error components specification with time-varying efficiencies (Battese and Coelli, 1992, <doi:10.1007/BF00158774>) and a model specification in which the firm effects are directly influenced by a number of variables (Battese and Coelli, 1995, <doi:10.1007/BF01205442>).

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fortran

4.01 score 1 dependents 257 scripts 1.3k downloads

mvProbit - Multivariate Probit Models

Tools for estimating multivariate probit models, calculating conditional and unconditional expectations, and calculating marginal effects on conditional and unconditional expectations.

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3.83 score 27 scripts 485 downloads

micEconAids - Demand Analysis with the Almost Ideal Demand System (AIDS)

Functions and tools for analysing consumer demand with the Almost Ideal Demand System (AIDS) suggested by Deaton and Muellbauer (1980).

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3.49 score 7 stars 44 scripts 518 downloads

micEcon - Microeconomic Analysis and Modelling

Various tools for microeconomic analysis and microeconomic modelling, e.g. estimating quadratic, Cobb-Douglas and Translog functions, calculating partial derivatives and elasticities of these functions, and calculating Hessian matrices, checking curvature and preparing restrictions for imposing monotonicity of Translog functions.

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3.36 score 3 stars 4 dependents 58 scripts 1.1k downloads

urbin - Unifying Estimation Results with Binary Dependent Variables

Calculate unified measures that quantify the effect of a covariate on a binary dependent variable (e.g., for meta-analyses). This can be particularly important if the estimation results are obtained with different models/estimators (e.g., linear probability model, logit, probit, ...) and/or with different transformations of the explanatory variable of interest (e.g., linear, quadratic, interval-coded, ...). The calculated unified measures are: (a) semi-elasticities of linear, quadratic, or interval-coded covariates and (b) effects of linear, quadratic, interval-coded, or categorical covariates when a linear or quadratic covariate changes between distinct intervals, the reference category of a categorical variable or the reference interval of an interval-coded variable needs to be changed, or some categories of a categorical covariate or some intervals of an interval-coded covariate need to be grouped together. Approximate standard errors of the unified measures are also calculated. All methods that are implemented in this package are described in the 'vignette' "Extracting and Unifying Semi-Elasticities and Effect Sizes from Studies with Binary Dependent Variables" that is included in this package.

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3.30 score 1 scripts 285 downloads

micEconDistRay - Econometric Production Analysis with Ray-Based Distance Functions

Econometric analysis of multiple-input-multiple-output production technologies with ray-based input distance functions as suggested by Price and Henningsen (2023): "A Ray-Based Input Distance Function to Model Zero-Valued Output Quantities: Derivation and an Empirical Application", Journal of Productivity Analysis 60, p. 179-188, <doi:10.1007/s11123-023-00684-1>.

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2.00 score 189 downloads

micEconCES - Analysis with the Constant Elasticity of Substitution (CES) Function

Tools for econometric analysis and economic modelling with the traditional two-input Constant Elasticity of Substitution (CES) function and with nested CES functions with three and four inputs. The econometric estimation can be done by the Kmenta approximation, or non-linear least-squares using various gradient-based or global optimisation algorithms. Some of these algorithms can constrain the parameters to certain ranges, e.g. economically meaningful values. Furthermore, the non-linear least-squares estimation can be combined with a grid-search for the rho-parameter(s). The estimation methods are described in Henningsen et al. (2021) <doi:10.4337/9781788976480.00030>.

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2.00 score 1 stars 590 downloads

micEconSNQP - Symmetric Normalized Quadratic Profit Function

Tools for econometric production analysis with the Symmetric Normalized Quadratic (SNQ) profit function, e.g. estimation, imposing convexity in prices, and calculating elasticities and shadow prices.

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1.15 score 14 scripts 471 downloads

micEconIndex - Price and Quantity Indices

Tools for calculating Laspeyres, Paasche, and Fisher price and quantity indices.

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1.00 score 8 scripts 291 downloads