Re: [R] NLS and IV

From: Spencer Graves <spencer.graves_at_pdf.com>
Date: Fri 18 Aug 2006 - 20:06:44 EST

      RSiteSearch("grogger") produced nothing, which suggests that the paper you cite is NOT cited in a help page in any package contributed to CRAN. However, RSiteSearch("instrumental variables") just produced 31 hits for me, among which #11 was for "systemfit{systemfit}", which mentions "instrumental variables" and "probits". I also got 6 hits for RSiteSearch("exogeneity") and 6 for RSiteSearch("endogeneity"). You might also check the 'sem' package.

      If you don't find anything that does exactly what you want, I doubt if it would be too difficult to program it from scratch using something like "optim" if you couldn't find anything better using RSiteSearch or similar tools.

      If you would like further help from this listserve, please submit another post. In doing so, I suggest you include commented, minimal, self-contained, reproducible code illustrating something you've tried, as suggested in the final two lines of this email. Substantial anecdotal evidence suggests that posts that conform more closely to the style describe in the posting guide
"www.R-project.org/posting-guide.html" (which recommends including commented, minimal, self-contained, reproducible code) tend to get better answers to their questions quicker than other posts.

      Hope this helps. 
      Spencer Graves

John Janmaat wrote:
> Hello All,
>
> I'm looking to test a variable in a logit model (glm(...,
> binomial(link="logit"))) for exogeneity (endogeneity). At this point I am
> planning to try implementing Jeffery Grogger's "A Simple Test for Exogeneity in
> Probit, Logit, and Poisson Regression Models", Economic Letters, 1990. To do
> this, I need to be able to do an instrumental variables NLS regression. Is
> there a simple way to do this?
>
> Alternatively, is there any other test for exogeneity (endogeneity) of a
> regressor that has been implemented in R, for binary models?
>
> Thanks,
>
> John.
>
> ============================================================================
> Dr. John Janmaat Tel: 902-585-1461
> Department of Economics Fax: 902-585-1461
> Acadia University, Email: jjanmaat@acadiau.ca
> Wolfville, Nova Scotia, Canada. Web: ace.acadiau.ca/~jjanmaat/
> B4P 1H5
>
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>



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https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Received on Fri Aug 18 20:23:58 2006

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