search for: systemfit

Dear R users, the systemfit package contains functions for fitting systems of simultaneous equations by various estimation methods (e.g. OLS, SUR, 2SLS, 3SLS). Currently version 0.8 of systemfit is available on CRAN. However, shortly we will upload version 1.0, which is NOT BACKWARD COMPATIBLE. The changes that broke back...

Dear R users, the systemfit package contains functions for fitting systems of simultaneous equations by various estimation methods (e.g. OLS, SUR, 2SLS, 3SLS). Currently version 0.8 of systemfit is available on CRAN. However, shortly we will upload version 1.0, which is NOT BACKWARD COMPATIBLE. The changes that broke back...

...d to obtain AIC and BIC and to be able to impose some linear restrictions on the ADF regression so as to decide the correct order of autoregression. However I could find no obvious way to impose linear restrictions or to obtain AIC from the the result of ADF.test from uroot. That is why I turned to systemfit. I ran the ADF regression with systemfit and obtained the same coefficient estimates as through ADF.test (as it had to be). Unfortunately I could not find how to extract AIC from the result of systemfit, so I evaluated the ADF regression by lm. So far so good. However the results of ftest.systemfit...

The 'systemfit' function in systemfit 0.7-3 CRAN package seems to have a problem with formulas that contain transformed (eg. log) variables. If I have my data in a data frame, apparently systemfit doesn't "pass" the information of where the variables should be taken to the transforming function....

Hi, I added a new function "predict.systemfit" to our package "systemfit" to make it closer to other packages (e.g. lm). Now "R CMD check" complains that the generic function "predict" has only the argument "object", while our function "predict.systemfit" has more arguments. However, th...

Hi I was trying to estimate simultaneous equation system in R using systemfit. I used the following commands >library(systemfit) > data(Kmenta) > attach(Kmenta) >eqDemand<-consump~price+income > eqSupply<-consump~price+farmprice+trend > fitsur<-systemfit("SUR",list(demand=eqDemand, supply=eqSupply)) and got the following error messege E...

I am confused by the following description in http://www.maths.lth.se/help/R/.R/library/systemfit/html/hausman.systemfit.html what does the "Not run" mean? if we do not load systemfit, how can we run the following code? ## Not run: library( systemfit ) data( kmenta ) attach( kmenta ) ... I install the package of systemfit, and run the code. I got the warning: > library( system...

I am having problem using output of lm() function for further analysing using systemfit package. Basicaly, the problem s following - I generate several formulas using lm() > fo1 <- lm(r98[,2] ~ f98[,1] + f98[,2] + ... + f98[,43]) > fo2 <- lm(r98[,1] ~ f98[,1] + f98[,2] + ... + f98[,43]) and than I want to estimate a general model using package systemfit. > fitsur &lt...

Hi, I am trying to obtain the heteroskedasticity consitent standard errors (HCSE) after apply 2SLS. I obtain 2SLS through tsls from package sem or systemfit: #### tsls #### library (sem) Reg2SLS <-tsls(LnP~Sc+Ag+Ag2+Var+R+D,~I2+Ag+Ag2+Var+R+D) summary (Reg2SLS) #### systemfit #### library (systemfit) RS <- LnP~Sc+Ag+Ag2+Var+R+D Inst <- ~I2+Ag+Ag2+Var+R+D labels <-list("RS") system <-list(RS) Reg2SLS <- systemfi...

Dear list I am trying to install the systemfit package under unix, install.packages(systemfit) the installation failed. I am attaching the error and version information below, (if dependencies=TRUE, much more error) any help appreciated best, yong ===================================================================== > install.packages(&q...

Hello to everyone, I have 2 problems and would be very pleased if anyone can help me: 1) When I use the package "systemfit" for SUR regressions, I get two different variance-covariance matrices when I firstly do the SUR regression ("The covariance matrix of the residuals used for estimation") and secondly do the OLS regressions. In the manual for "systemfit" on page 14 I see however, that the v...

Dear Users, I want to know whether systemfit can solve simultaneous equations using panel data. Regards Arunima [[alternative HTML version deleted]]

Hello, i am new to R and have it on my Mac with OSX 10.2. I downloaded the systemfit package and tried to run it and it didn't work. I think i need to install the package, or update R to let it know that I have that in the library. (i simply placed the systemfit folder in the R library.) When i run update.packages(systemfit) or install.packages(systemfit) i get the followin...

Hi all - I'm on R 2.5.1 for XP. in the systemfit package, the summary is set to print the McElroy's measure of fit unless it's NULL. When the option saveMemory = TRUE, the McElroy isn't included, instead it defaults to NA. Thus I am unable to use summary.systemfit. > library(systemfit) > example(systemfit) > surfit2 <-...

Dear Arne, thank you very much upfront for your time that you invest in answering my question. I'm using your systemfit R package to analyze if companies risk appetite has a relationship to their performance and how it evolves over time. We collected data for ca. 80 companies, from 6 segments over 15 years that gives us a final data set with 1,312 firm-year observations. We have set up 3 equations (based on existing...

Thank you, Greg, and also to Scott Ellison, who replied privately. I am in the process of trying out both suggestions. After I sent my initial message, I came across the Systemfit package, which allows specification of constraints on parameters. In theory, this should solve my problem perfectly. However, I was not able to get it to work with my data, as every attempt yielded the following error: Error in dimnames(x) <- dn : length of 'dimnames' [2] not equal...

Hey, I want to implement a structural model with the package systemfit with some linear and nonlinear constraints. How to implement linear restrictions is clear. Does anybody know how to set up nonlinear restrictions in the systemfit packages. For example: beta1 = beta2-(beta4/beta6) I look forward to your reply -- View this message in context: http://www.nabble...

Hello !   I’m trying to estimate a system of equation (demand and supply) using the systemfit package.  My program is:   library(systemfit) demand <- tsyud ~ tsyud1 + tsucp + tspo + tssn supply <- tscn ~ tsyn + tsqn + tsksn + tsucp system <- list(demand=eqdemand, learning = eqsupply) labels <- list(demand="eqdemand", learning="eqsupply") inst <- ~ tsupp1 +...

...s not enough information, please just let me know and I will tell him. Thanks. -----Original Message----- Sent: Friday, April 13, 2007 3:58 PM To: Leeds, Mark (IED) Subject: R question I am using the "predict" function after I have done a simultaneous estimation of a system using "systemfit". fitsur is the output of systemfit and "system" is my system of equations, "SUR" is the Seemingly Unrelated Regrssions method of estimation. fitsur<-systemfit("SUR",system) I am supposed to be able to use the estimated coefficients for out-of-sample predicti...

I might be sorry for asking this question :-) I have two equations and I tried to estimate them individually with "lm" and "gls", and then in a system (using systemfit) with "OLS", "WLS" and "SUR". Quite surprisingly (for myself at least) the results are identical to the last digit. Could someone (please!) give a hint as to what am I doing wrong? Thanks, mihai --------------------------------- [[alternative HTML versio...