Estimations using Conley Standard Errors

Functions calculating Conley (1999) standard errors. The package started by merging and extending multiple packages and other published scripts on this econometric technique. It strongly emphasizes computational optimization. Details are available in the function documentation and in the vignette.

This package estimates ols, logit, probit, and poisson models with Conley standard errors.

The package started by gradually merging and extending multiple packages and other published scripts on this econometric technique. Its current state ventures well beyond its earlier foundations and strongly emphasizes computational optimization. Details are available in the function documentation and in the vignette.

You can install this package using devtools::install_github("cdueben/conleyreg", build_vignettes = T) in R. devtools::install_github("cdueben/conleyreg") installs the package without the vignette.

Let me know, if you come across any errors.

Extensions to this package are certainly welcome. You can add them by sending me an e-mail or by submitting a pull request.