[R] endogenous variables in gam (mgcv)

Michael A. Milligan pakdke at yahoo.com
Fri Aug 22 00:53:43 CEST 2008


Hello,

I have a question.  Suppose that I have a function to estimate with gam (in the mgcv package),
y=s(x1)+s(x2)+XB
where X is a vector of exogenous variables and x1 and x2 are explanatory variables assumed parametric linear functions of X and other exogenous variables Z.  Is there a way to evaluate this equation with gam, allowing for endogeneity?  If not, is there another semiparametric/nonparametric evaluation function where endogeneity can be programed more easily?

I really appreciate any help I can get with this.  Thank you very much.

Michael Milligan
Doctoral Candidate
University of New Mexico



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