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: [EMAIL PROTECTED] Wolfville, Nova Scotia, Canada. Web: ace.acadiau.ca/~jjanmaat/ B4P 1H5 ______________________________________________ [email protected] mailing list 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.
