civ

Implementation of the categorical instrumental variable (CIV) estimator proposed by Wiemann (2023) doi:10.48550/arXiv.2311.17021. CIV allows for optimal instrumental variable estimation in settings with relatively few observations per category. To obtain valid inference in these challenging settings, CIV leverages a regularization assumption that implies existence of a latent categorical variable with fixed finite support achieving the same first stage fit as the observed instrument.

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