I'm currently using the fixest package for IV estimations, and I've noticed that there might not be direct support for the valid Standard Error (SE) method as introduced by Lee et al. (2022). I'm currently extracting the coefficient table from fixest and recalculating the SE for each variable using the ivDiag package.
It would be immensely helpful if the fixest package could readily incorporate the SE calculation using the AR approach from Lee (2022) and perhaps other established methods like Anderson & Rubin (1949).
Thank you for considering this enhancement. I truly appreciate the hard work that goes into maintaining and improving the fixest package.
References:
Anderson, T. W., & Rubin, H. (1949). Estimation of the parameters of a single equation in a complete system of stochastic equations. The Annals of Mathematical Statistics, 20(1), 46-63.
Lee, D. S., McCrary, J., Moreira, M. J., & Porter, J. (2022). Valid t-ratio Inference for IV. American Economic Review, 112(10), 3260-3290.
Hello,
I'm currently using the fixest package for IV estimations, and I've noticed that there might not be direct support for the valid Standard Error (SE) method as introduced by Lee et al. (2022). I'm currently extracting the coefficient table from
fixestand recalculating the SE for each variable using theivDiagpackage.It would be immensely helpful if the fixest package could readily incorporate the SE calculation using the AR approach from Lee (2022) and perhaps other established methods like Anderson & Rubin (1949).
Thank you for considering this enhancement. I truly appreciate the hard work that goes into maintaining and improving the
fixestpackage.References:
Anderson, T. W., & Rubin, H. (1949). Estimation of the parameters of a single equation in a complete system of stochastic equations. The Annals of Mathematical Statistics, 20(1), 46-63. Lee, D. S., McCrary, J., Moreira, M. J., & Porter, J. (2022). Valid t-ratio Inference for IV. American Economic Review, 112(10), 3260-3290.