| robust2sls-package {robust2sls} | R Documentation |
robust2sls: A package for outlier robust 2SLS inference and testing
Description
The robust2sls package provides two main functionalities. First, it implements an algorithm for determining whether an observations is an outlier based on its standardized residual and re-estimation based on the sub-sample excluding all outliers. This procedure is often used in empirical research to show that the results are not driven by outliers. This package has implemented the algorithm in various forms and the user can select between different initial estimators and how often the algorithm is iterated. The statistical inference is adapted to account for potential false positives (classifying observations as outliers even though they are not).
Second, the robust2sls package provides easy-to-use statistical tests on whether the difference between the original and the outlier-robust estimates is statistically significant. Furthermore, several different statistical tests are implemented to test whether the sample actually contains outliers.