Coding

On this page you will find various pieces of code I made in the context of my PhD thesis. I tried to comment it as much as possible, but feel free to contact me if anything is unclear!

R:

• The sgmodel package in R: description of the package.

• The Weighted Minimum Distance (WMD) and Weighted Minimum Distance with Fuller’s modification (WMDF) estimators from Antoine and Lavergne (2014): WMD/WMDF.

• Some functions used for GMM and GEL estimation (this code differs from the gmm package in that it uses the DEoptim package to solve the optimization problems. See DEoptim for more details): GMM/GEL.

• The P2SLS estimator used in my job market paper.

Julia:

• Some classical estimators for linear models: OLS, TSLS, LIML, kclass.

• The WMD/WMDF estimator.

• Kernel regression estimators (local constant & local linear, for 1 explanatory variable only).

• Some auxiliary functions for simulation purposes.