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systemfit: A Package to Estimate Simultaneous Equation Systems in R

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Author Info
Henningsen, Arne
Hamann, Jeff

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

Find related papers by JEL classification:
C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation

This paper has been announced in the following NEP Reports:

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  1. Schmidt, Peter, 1977. "Estimation of seemingly unrelated regressions with unequal numbers of observations," Journal of Econometrics, Elsevier, vol. 5(3), pages 365-377, May. [Downloadable!] (restricted)
  2. Hausman, Jerry A, 1978. "Specification Tests in Econometrics," Econometrica, Econometric Society, vol. 46(6), pages 1251-71, November. [Downloadable!] (restricted)
  3. Schmidt, Peter, 1990. "Three-stage least squares with different instruments for different equations," Journal of Econometrics, Elsevier, vol. 43(3), pages 389-394, March. [Downloadable!] (restricted)
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