The micsr package is the companion package to the book "Microeconometrics with R" (Chapman and Hall/CRC The R Series). It includes function to estimate and to test models, miscellanous tools and data sets:

micsr provides methods described in the book that are not available in R. This includes:

• testing functions:

  • scoretest for score (or Lagrange Multiplier) tests,
  • cmtest for conditional moment tests,
  • sargan for Sargan-Hansen's test of overidentified moment conditions,
  • hausman for Hausman's test,
  • ndvuong for non-degenerate Vuong test of Shi,
  • ftest for F test

• function to estimate models:

  • binomreg binomal variable regression,
  • bivprobit bivariate probit model
  • clm constrained linear regression,
  • escount endogenous switching model for count data,
  • expreg exponentional mean regression model,
  • loglm log-linear models
  • tobit1 one-equation tobit model,
  • ordreg ordered variable regression,
  • poisreg poissong regression model,
  • pscore: matching models

• miscellanous tools

  • gaze: print a short summary of an object,
  • dummy: generate a set of dummy variables from a factor,
  • newton: Newton-Raphson optimization method, using the analytical gradient and hessian,
  • mills: compute the inverse mills ratio and its first two derivatives,
  • stder: extract the standard errors of a fitted model,
  • npar: extract the number of parameters in a fitted model.

• data sets:

  • apples: Apple production, Ivaldi and al. (1996), constrained linear model,
  • birthwt: Cigarette smoking and birth weigth, Mullahy (1997), exponentional conditional mean regression model,
  • charitable: Intergenerational transmission of charitable giving, Wilhem (2008), Tobit-1 model,
  • cigmales: Cigarettes consumption and smoking habits, Mullahy (1997), exponentional conditional mean regression mdodel,
  • drinks: Physician advice on alcohol consumption, Kenkel and Terza (2001), endogenous switching model for count data,
  • ferediv: Foreign exchange derivatives use by large US bank holding companies, Adkins (2012), instrumental variable probit model,
  • fin_reform: Political economy of financial reforms, Abiad and Mody (2005), ordered regression model,
  • housprod: Household production, Kerkhofs and Kooreman (2003), bivariate probit model,
  • mode_choice: Choice between car and transit, Horowitz (1993), probit model,
  • trade_protection: Lobying and trade protection, Atschke and Sherlund (2006), instrumental variable Tobit-1 model,
  • trips: Determinants of household trip taking, Terza (1998), endogenous switching model for count data,
  • turnout: Turnout in Texas liquor referenda, Coate and Conlin (2004), non-degenerate Vuong test,
  • twa: Temporary help jobs and permanent employment, Ichino, Mealli and Nannicini (2008), matching.

• vignettes:

  • charitable: Estimating the Tobit-1 model with the charitable data set
  • escount: Endogenous switching or sample selection models for count data
  • expreg: Exponentional conditional mean models with endogeneity
  • ndvvuong: Implementation of Shi's non-degeranate Vuong test
  • lm_function: A extended description of the lm function
  • micsr_objects: A description of micsr

We tried to keep the sets of package on which micsr depends on as small as possible. micsr depends on Formula, generics, Rdpack and sandwich. We borrowed the gaussian quadrature function from the statmod package (Smyth and al., 2023), and the distribution function of quadratic forms in normal variables from the CompQuadForm package (Duchesne and Lafaye, 2010).

The micsr is on CRAN. To install it:

install.packages("micsr")

The development version is on github and can be installed using the pak package:

pak::pkg_install("ycroissant/micsr")