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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> PLEASE do read the posting guide
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> and provide commented, minimal, self-contained, reproducible code.
>