[R] Systems of equations in glm?

Paul Johnson pauljohn at ku.edu
Thu May 30 17:08:13 CEST 2002

I have a student that I'm encouraging to use R rather than SAS or Stata 
and within just 2 weeks he has come up with a question that stumps me.

What does a person do about endogeneity in generalized linear models?

Suppose Y1 and Y2 are 5 category ordinal dependent variables.  I see 
that MASS has polr for estimation of models like that, as long as they 
are independent. But what if the models were to be written:

   Y1.plr <- polr(Y1 ~ Y2 + X1 + X2)

   Y2.plr <- polr(Y2 ~ Y1 + X3 + X4)

Are estimates of the coefficients for Y1 and Y2 biased, as they would be 
in a linear model?  I think yes. Do I need some equivalent of 2SLS or FIML?

It is not entirely clear to me if, in this example, the input Y1 or Y2 
is conceptualized as the 5 point scale or rather if it is thought of as 
a continuous variable which is observed with error.

Is there an email list besides r-help where I should be asking questions 
like this? I understand it is not strictly R related and would gladly go 
bother other people than you if you tell me where.

Paul E. Johnson                       email: pauljohn at ukans.edu
Dept. of Political Science            http://lark.cc.ku.edu/~pauljohn
University of Kansas                  Office: (785) 864-9086
Lawrence, Kansas 66045                FAX: (785) 864-5700

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