```{r} suppressMessages({ library(hdm) library(AER) data("EminentDomain") }) ``` ```{r} names(EminentDomain$logNM) ``` ```{r} ?EminentDomain ``` * Outcome: Housing Prices in the Non-metro area (the `logNM` sub-dataset) * Main regressor: Eminent domain decisions ```{r} x=EminentDomain$logNM$x y=EminentDomain$logNM$y z=EminentDomain$logNM$z d=EminentDomain$logNM$d ``` Many IVs: ```{r} dim(z) ``` ```{r} dim(x) ``` ```{r} TSLS<-ivreg(y~d+x | z+x) coeftest(TSLS,vcov. = vcovHC(TSLS,type="HC0"))[1:2,] ``` With selection of IVs: ```{r} model.NM<-rlassoIV( y=y, d=d, x=x, z=z, select.Z = TRUE, select.X = FALSE) summary(model.NM) ``` * Different sign * Significance Confidence interval: ```{r} confint(model.NM) ``` ```{r} model.NM$selected ``` 