[R] Systems of equations in glm?
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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