systemfit: A Package for Estimating Systems of Simultaneous Equations in R
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.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- John Freebairn & Bill Griffiths, 2006. "Introduction," The Economic Record, The Economic Society of Australia, vol. 82(s1), pages S1-S1, 09.
- Hausman, Jerry, 2015.
"Specification tests in econometrics,"
Publishing House "SINERGIA PRESS", vol. 38(2), pages 112-134.
- Schmidt, Peter, 1977. "Estimation of seemingly unrelated regressions with unequal numbers of observations," Journal of Econometrics, Elsevier, vol. 5(3), pages 365-377, May.
- 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.
- Schmidt, Peter, 1990. "Three-stage least squares with different instruments for different equations," Journal of Econometrics, Elsevier, vol. 43(3), pages 389-394, March.
When requesting a correction, please mention this item's handle: RePEc:jss:jstsof:23:i04. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum)
If references are entirely missing, you can add them using this form.