[R] systemfit: data

Martin Ivanov
Tue, 18 Sep 2007 11:46:59 -0000

Dear R users,
I have a question on the function systemfit from the systemfit package. This
function returns a list of the class systemfit, which besides all other
information, contains the data frame of the whole system, called ?data?. I have
noticed the following issue.
Suppose that I have to estimate a single equation (the simplest case), for
example:
x ~ y + z

so I call systemfit like that:

a <-
systemfit(method=?OLS?,eqns=formula(?x~y+z?),data=data.frame(cbind(x,y,z)))

Then, a$data contains the variables x,y and z in its columns. So far so good.
However, if I do not want an intercept term to be evaluated and I call systemfit
like that:
a <- systemfit(method=?OLS?,eqns=formula(?x ~ -1 + y +
z?),data=data.frame(cbind(x,y,z)))

then a$data contains only x and z in its columns. The regressor y is missing.
The same issue is valid for systems of equations: if an intercept term is not
allowed, ?data? contains everything it should with the exception of the first
variables on the right hand side of the equations. If an intercept term is
allowed, then ?data? does contain the data frame of the whole system.

If I do something wrong, please tell me.
I am looking forward to your reply.
Regards,
Martin

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