systemfit: A Package to Estimate Simultaneous Equation Systems in R

Henningsen, Arne and Hamann, Jeff (2006): systemfit: A Package to Estimate Simultaneous Equation Systems in R. Unpublished.

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.

• Item Type: MPRA Paper
• Additional Information: The systemfit package described in this paper is available on http://www.systemfit.org and http://cran.r-project.org/src/contrib/Descriptions/systemfit.html
• Institution: Department of Agricultural Economics, University of Kiel
• Language: English
• Keywords: simultaneous equations systems; seemingly unrelated regression; two-stage least squares; three-stage least squares; R
• Subjects: C - Mathematical and Quantitative Methods > C3 - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors > C30 - General; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C13 - Estimation

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