systemfit: A Package to Estimate Simultaneous Equation Systems in R

Arne Henningsen and Jeff Hamann

MPRA Paper from University Library of Munich, Germany

Abstract: Many statistical analyses are based on models containing systems of structurally related equations. In cases where cross-equation disturbances are correlated, full information methods are required (Zellner, 1962). If exogenous variables are stochastically dependent on the disturbances in the system, then instrumental variable estimation methods should be used (Zellner and Theil, 1962) The package systemfit provides the capability to estimate systems of linear equations within the R programming environment.

Keywords: simultaneous equations systems; seemingly unrelated regression; two-stage least squares; three-stage least squares; R (search for similar items in EconPapers)
JEL-codes: C13 C30 (search for similar items in EconPapers)
Date: 2006-03-15
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/1421/1/MPRA_paper_1421.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:1421

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().