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yendo
2007 May 23
0
Changing sequential regression code to call systemfit
I use code ( actually its code from vars package and its directly below
) to do a sequence of lm calls and the data I use from the matrix
depends on restrictions.
for(i in 1:K){
datares <- datasub[, which(x$restrictions[i, ] == 1),drop=FALSE]
y <- yendog[, i]
lmres <- lm(y ~ -1 + ., data=datares)
# x$varresult[[i]] <- lmres
# x$resid[, i] <- resid(x$varresult[[i]])
}
I would like to modify the code to make one call to systemfit because I
really should be using SUR rather than a sequence of lms.
But, systemfit needs the...