R help - Oct 2012 - System/SUR equations and panel

Hi:

I was wondering if there is any R package to estimate a two-or three 
equation system in a panel setting.

Say, I have 100 firms and their expenditure on wind generated power and 
solar-generated power.

S_i = X1_i*b1 + u1_i
W_i = X2_i* b2 + u2_i

(X1 and X2 need not be the same.. but for simplicity, they could be 
assumed to be similar)

Now, I have this firm data set for 10 years...

I looked at systemfit package and its "investment"  example and the
way
it uses plm package was not quite clear.  Any help will be much 
appreciated.


Best,
Alok Bohara
UNM

Hi Alok

On 3 October 2012 17:28, Alok K Bohara, PhD <bohara at unm.edu>
wrote:
> I was wondering if there is any R package to estimate a two-or three
> equation system in a panel setting.
>
> Say, I have 100 firms and their expenditure on wind generated power and
> solar-generated power.
>
> S_i = X1_i*b1 + u1_i
> W_i = X2_i* b2 + u2_i
>
> (X1 and X2 need not be the same.. but for simplicity, they could be assumed
> to be similar)
>
> Now, I have this firm data set for 10 years...
>
> I looked at systemfit package and its "investment"  example and
the way it
> uses plm package was not quite clear.  Any help will be much appreciated.
Unfortunately, systemfit cannot (yet) apply panel data techniques
(e.g. random effects or fixed effects) to estimate a system of
equations. However, you can manually estimate a fixed effects model if
you add dummy variables for individuals and/or time periods or
estimate the model with "within transformed" data.

Best wishes,
Arne

-- 
Arne Henningsen
http://www.arne-henningsen.name