Routines for flexible functional form estimation via basis regression, with model selection via the adaptive LASSO or SCAD to prevent overfitting.
polywog is an R package by Brenton Kenkel and
Curtis Signorino containing
routines for flexible functional form estimation via basis regression with
oracle-penalized model selection. You can install the most recent stable
version of the package
from CRAN by
in an R console.
The statistical methods implemented in
polywog are documented and applied in
the following working papers:
"An Alternative Solution to the Heckman Selection Problem: Selection Bias as Functional Form Misspecification"
"Data Mining for Theorists"