ivmodels 0.5.1

IV Models

ivmodels

ivmodels is a Python library for instrumental variable estimation. It implements

• K-Class estimators, including the Limited Information Maximum Likelihood (LIML) estimator and the Two-Stage Least Squares (TSLS) estimator.
• Tests and confidence sets for the parameters of the model, including the Anderson-Rubin test, the the Lagrange multiplier test, the (conditional) likelihood-ratio test, and the Wald test.
• Auxiliary tests such as Anderson's (1951) test of reduced rank (a multivariate extension to the first-stage F-test) and the J-statistic (including its LIML variant).