Fast Estimators for Design-Based Inference

Fast procedures for small set of commonly-used, design-appropriate estimators with robust standard errors and confidence intervals. Includes estimators for linear regression, instrumental variables regression, difference-in-means, Horvitz-Thompson estimation, and regression improving precision of experimental estimates by interacting treatment with centered pre-treatment covariates introduced by Lin (2013) .


News

estimatr 0.12.0

  • Fixed ambiguity about how interacted covariates were centered in lm_lin
  • A series of fixes for bugs that occurred with multiple outcomes (multivariate regression):
    • Fixed bug pointed out by James Pustejovsky via the sandwich version 2.5-0 and off-diagonal blocks of multivariate regression vcov matrices
    • Fixed bugs in lm_lin preventing multivariate regression
    • Fixed bug that truncated degrees of freedom with "CR2" standard errors
    • Fixed bug that returned incorrect R-squared for the second or later outcomes
  • Fixed bug preventing integration with latest version of margins
  • Fixed bug with difference_in_means when using condition1 and condition2 to subset a treatment vector with more than two treatment conditions. Previous estimates and standard errors were incorrect.

estimatr 0.10.0

  • Changed names of confidence interval columns in tidied data from ci.lower and ci.upper to conf.low and conf.high to be in line with other tidy methods
  • Added support for fixed_effects that are just one block
  • Added support for specifing condition_prs in horvitz_thompson() as a single number
  • Added t- and z-statistics to output
  • Limit unnecessary messaging in horvitz_thompson()

estimatr 0.8.0

  • Added support for absorbing fixed effects in lm_robust and iv_robust
  • Added commarobust and starprep for stargazer integration
  • Added texreg support for 2SLS IV models
  • Fixed bugs for incorrect F-statistics with robust standard errors
  • Refactor of main fitting engine for linear models

estimatr 0.6.0

  • Added support for multivariate linear models
  • Added support for instrumental variables regression
  • Major change to name of object output elements to mostly match with broom::tidy
    • old -> new
    • coefficient_names -> term
    • se -> std.error
    • p -> p.values
    • ci_lower -> ci.lower
    • ci_upper -> ci.upper
    • All of the above changes are also made to the column names on the output of tidy; furthermore for tidy objects one further name change from coefficients -> estimate has been made
  • Fixed bug that caused variances, standard errors, and p-values to be wrong for weighted "CR2" variance estimation
  • Fixed incorrect estimates when both weights and blocks were passed to difference_in_means
  • Rewrite NSE handling to be done by rlang
  • Rewrite na.omit handler in R
  • Major refactor of C++ underlying regression estimators

estimatr 0.4.0

  • Changed suffix added to centered variables in lm_lin() from _bar to _c
  • Added all vignettes to .Rbuildignore, only available on website now
  • Fixed lm_robust_helper.cpp algorithm to not catch own exception and to deal with valgrind memory errors
  • Bugfix where passing a formula as an object within a function would fail
  • Simplified some tests for various CRAN test platforms

estimatr 0.2.0

  • First CRAN upload

Reference manual

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install.packages("estimatr")

0.14 by Graeme Blair, a month ago


https://declaredesign.org/r/estimatr/, https://github.com/DeclareDesign/estimatr


Report a bug at https://github.com/DeclareDesign/estimatr/issues


Browse source code at https://github.com/cran/estimatr


Authors: Graeme Blair [aut, cre] , Jasper Cooper [aut] , Alexander Coppock [aut] , Macartan Humphreys [aut] , Luke Sonnet [aut] , Neal Fultz [ctb]


Documentation:   PDF Manual  


MIT + file LICENSE license


Imports Formula, generics, methods, Rcpp, rlang

Suggests fabricatr, randomizr, AER, car, clubSandwich, ivpack, lfe, margins, prediction, RcppEigen, sandwich, stargazer, testthat

Enhances texreg

Linking to Rcpp, RcppEigen


Depended on by DeclareDesign, DesignLibrary.


See at CRAN