R help - Feb 2011 - System of related regression equations

Dear all,

I would like to estimate a system of regression equations of the following
form:

y1 = a1 + b1 x1 + b2x2 + e1
y2 = a2 + c1 y1 + c2 x2 + c3 x3 + e2

Specifically the dependent variable in Equation 1 appears as an independent
variable in Equation 2. Additionally some independent variables that appear
in Equation 1 are also included in Equation 2.

I assume that I cannot estimate these two regressions separately using lm.
Is there an efficient way to estimate these equations?

Thanks very much in advance,

Michael



Michael Haenlein
Professor of Marketing
ESCP Europe
Paris, France

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What you are describing is a path model (e.g., http://bit.ly/f4siTs). You can
fit such a model with the sem package
(http://cran.r-project.org/web/packages/sem/index.html).

Best,

-- 
Wolfgang Viechtbauer
Department of Psychiatry and Neuropsychology
School for Mental Health and Neuroscience
Maastricht University, P.O. Box 616
6200 MD Maastricht, The Netherlands
Tel: +31 (43) 368-5248
Fax: +31 (43) 368-8689
Web: http://www.wvbauer.com

> -----Original Message-----
> From: r-help-bounces at r-project.org [mailto:r-help-bounces at
r-project.org]
> On Behalf Of Michael Haenlein
> Sent: Tuesday, February 22, 2011 11:41
> To: r-help at r-project.org
> Subject: [R] System of related regression equations
> 
> Dear all,
> 
> I would like to estimate a system of regression equations of the following
> form:
> 
> y1 = a1 + b1 x1 + b2x2 + e1
> y2 = a2 + c1 y1 + c2 x2 + c3 x3 + e2
> 
> Specifically the dependent variable in Equation 1 appears as an
> independent
> variable in Equation 2. Additionally some independent variables that
> appear
> in Equation 1 are also included in Equation 2.
> 
> I assume that I cannot estimate these two regressions separately using lm.
> Is there an efficient way to estimate these equations?
> 
> Thanks very much in advance,
> 
> Michael
> 
> 
> 
> Michael Haenlein
> Professor of Marketing
> ESCP Europe
> Paris, France