[R] NLS and IV

Spencer Graves spencer.graves at pdf.com
Fri Aug 18 12:06:44 CEST 2006

      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 at acadiau.ca
> Wolfville, Nova Scotia, Canada.        Web: ace.acadiau.ca/~jjanmaat/
> B4P 1H5
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