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systemfit: A Package to Estimate Simultaneous Equation Systems in R

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  • Henningsen, Arne
  • Hamann, Jeff

Abstract

Many statistical analyses are based on models containing systems of structurally related equations. In cases where cross-equation disturbances are correlated, full information methods are required (Zellner, 1962). If exogenous variables are stochastically dependent on the disturbances in the system, then instrumental variable estimation methods should be used (Zellner and Theil, 1962) The package systemfit provides the capability to estimate systems of linear equations within the R programming environment.

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File URL: http://mpra.ub.uni-muenchen.de/1421/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 1421.

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Date of creation: 15 Mar 2006
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Handle: RePEc:pra:mprapa:1421

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Keywords: simultaneous equations systems; seemingly unrelated regression; two-stage least squares; three-stage least squares; R;

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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. 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.
  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.
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