Henningsen, Arne and Hamann, Jeff (2006): systemfit: A Package to Estimate Simultaneous Equation Systems in R.
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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.
|Item Type:||MPRA Paper|
|Institution:||Department of Agricultural Economics, University of Kiel|
|Original Title:||systemfit: A Package to Estimate Simultaneous Equation Systems in R|
|Keywords:||simultaneous equations systems; seemingly unrelated regression; two-stage least squares; three-stage least squares; R|
|Subjects:||C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models; Multiple Variables > C30 - General
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General
|Depositing User:||Arne Henningsen|
|Date Deposited:||10. Jan 2007|
|Last Modified:||12. Feb 2013 13:32|
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