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systemfit: A Package for Estimating Systems of Simultaneous Equations in R

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  • Arne Henningsen
  • Jeff D. Hamann

Abstract

Many statistical analyses (e.g., in econometrics, biostatistics and experimental design) are based on models containing systems of structurally related equations. The systemfit package provides the capability to estimate systems of linear equations within the R programming environment. For instance, this package can be used for "ordinary least squares" (OLS), "seemingly unrelated regression" (SUR), and the instrumental variable (IV) methods "two-stage least squares" (2SLS) and "three-stage least squares" (3SLS), where SUR and 3SLS estimations can optionally be iterated. Furthermore, the systemfit package provides tools for several statistical tests. It has been tested on a variety of datasets and its reliability is demonstrated.

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Article provided by American Statistical Association in its journal Journal of Statistical Software.

Volume (Year): 23 ()
Issue (Month): i04 ()
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Handle: RePEc:jss:jstsof:23:i04

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  1. J. A. Hausman, 1976. "Specification Tests in Econometrics," Working papers 185, Massachusetts Institute of Technology (MIT), Department of Economics.
  2. John Freebairn & Bill Griffiths, 2006. "Introduction," The Economic Record, The Economic Society of Australia, vol. 82(s1), pages S1-S1, 09.
  3. Schmidt, Peter, 1977. "Estimation of seemingly unrelated regressions with unequal numbers of observations," Journal of Econometrics, Elsevier, vol. 5(3), pages 365-377, May.
  4. Schmidt, Peter, 1990. "Three-stage least squares with different instruments for different equations," Journal of Econometrics, Elsevier, vol. 43(3), pages 389-394, March.
  5. McElroy, Marjorie B., 1977. "Goodness of fit for seemingly unrelated regressions : Glahn's R2y.x and Hooper's r2," Journal of Econometrics, Elsevier, vol. 6(3), pages 381-387, November.
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Cited by:
  1. Jaghdani, Tinoush Jamali & Brummer, Bernhard, 2011. "Demand for Irrigation Water for Pistachio Production from Depleting Groundwater Resources: Spatial Econometric Approach," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 114457, European Association of Agricultural Economists.
  2. Cameron McIntosh, 2014. "The presence of an error term does not preclude causal inference in regression: a comment on Krause (2012)," Quality & Quantity: International Journal of Methodology, Springer, vol. 48(1), pages 243-250, January.
  3. Zhang, Yanwei, 2010. "A general multivariate chain ladder model," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 588-599, June.
  4. Kleiber, Christian & Zeileis, Achim, 2010. "The Grunfeld Data at 50," MPRA Paper 20841, University Library of Munich, Germany.
  5. Lampe, Markus, 2009. "Effects of Bilateralism and the MFN Clause on International Trade: Evidence for the Cobden-Chevalier Network, 1860-1875," The Journal of Economic History, Cambridge University Press, vol. 69(04), pages 1012-1040, December.
  6. Ott Toomet & Arne Henningsen, . "Sample Selection Models in R: Package sampleSelection," Journal of Statistical Software, American Statistical Association, vol. 27(i07).
  7. Vasco A. P. Cadavez & Arne Henningsen, 2011. "The Use of Seemingly Unrelated Regression (SUR) to Predict the Carcass Composition of Lambs," IFRO Working Paper 2011/12, University of Copenhagen, Department of Food and Resource Economics.
  8. Achim Zeileis & Roger Koenker, . "Econometrics in R: Past, Present, and Future," Journal of Statistical Software, American Statistical Association, vol. 27(i01).
  9. Delia Bailey & Jonathan N. Katz, . "Implementing Panel-Corrected Standard Errors in R: The pcse Package," Journal of Statistical Software, American Statistical Association, vol. 42(c01).
  10. Ole Boysen, 2012. "A Food Demand System Estimation for Uganda," The Institute for International Integration Studies Discussion Paper Series iiisdp396, IIIS.
  11. Christian H.C.A. Henning & Géraldine Henningsen & Arne Henningsen, 2012. "Networks and Transaction Costs," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 94(2), pages 377-385.
  12. Hess, Sebastian & Surry, Yves R., 2011. "The CDET Profit Function: Could it generate a Parsimonious Agricultural Sector Model?," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 114539, European Association of Agricultural Economists.
  13. Mirko Seithe & Lena Calahorrano, 2014. "Analysing Party Preferences Using Google Trends," CESifo Working Paper Series 4631, CESifo Group Munich.
  14. Arne Henningsen & Géraldine Henningsen, 2011. "Econometric Estimation of the “Constant Elasticity of Substitution" Function in R: Package micEconCES," IFRO Working Paper 2011/9, University of Copenhagen, Department of Food and Resource Economics.

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