Simulations comparing OLS, logistic regression, KRLS, and KRlogit

[lukesonnet]

Compare the above on MSE of predicted probabilities to latent Y* (which has noise) and NLL on predicted probabilities to observed Y. Also compare on MSE of average marginal effects. Do this for the following settings:

• [ ] Well specified logistic DGP (few + many predictors)
• [ ] logistic DGP with misspecification in linear component (ommitted variables + interactions + higher order terms)
• [ ] well specified probit DGP
• [ ] probit DGP with misspecification in linear component
• [ ] linear DGP