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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.

Suggested Citation

  • Henningsen, Arne & Hamann, Jeff, 2006. "systemfit: A Package to Estimate Simultaneous Equation Systems in R," MPRA Paper 1421, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:1421
    as

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    References listed on IDEAS

    as
    1. Hausman, Jerry, 2015. "Specification tests in econometrics," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 38(2), pages 112-134.
    2. Schmidt, Peter, 1990. "Three-stage least squares with different instruments for different equations," Journal of Econometrics, Elsevier, vol. 43(3), pages 389-394, March.
    3. 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.
    4. Schmidt, Peter, 1977. "Estimation of seemingly unrelated regressions with unequal numbers of observations," Journal of Econometrics, Elsevier, vol. 5(3), pages 365-377, May.
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    More about this item

    Keywords

    simultaneous equations systems; seemingly unrelated regression; two-stage least squares; three-stage least squares; R;
    All these keywords.

    JEL classification:

    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General

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