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

We tried to keep the sets of package on which **micsr** depends on as small as possible. **micsr** depends on **Formula**, **generics**, **Rdpack**, **knitr**, **sandwich** and on a subset of the **tidyverse** metapackage (**ggplot2**, **dplyr**, **purrr**, **tidyselect**, **magrittr**, **tibble**, **rlang**). 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 not yet on CRAN. To install it, first install the `pak`

package and enter:

`pak::pkg_install("ycroissant/micsr")`