systemfit: createSystemfitModel – R documentation

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createSystemfitModel

Create a Model for systemfit

Description

This function creates a model that can be estimated by systemfit. The data, disturbances, and — if not provided by the user — the coefficients as well as the disturbance covariance matrix are generated by random numbers.

Usage

createSystemfitModel( nEq, nRegEq, nObs, coef = NULL, sigma = NULL )

Arguments

`nEq`	the number of equations.
`nRegEq`	the number of regressors in each equation (without the intercept).
`nObs`	the number of observations.
`coef`	an optional vector of coefficients.
`sigma`	an optional covariance matrix of the disturbance terms.

Value

createSystemfitModel returns a list with following elements:

`formula`	a list of the model equations (objects of class `formula`).
`data`	a `data.frame` that contains the data.
`coef`	a vector of (true) coefficients.
`sigma`	the covariance matrix of the disturbance terms.

Author(s)

Arne Henningsen arne.henningsen@googlemail.com

Examples

## create a model by random numbers
systemfitModel <- createSystemfitModel( 3, 4, 100 )

## estimate this model by "SUR"
fitsur <- systemfit( systemfitModel$formula, "SUR", data = systemfitModel$data )

## compare the "true" and the estimated coefficients
cbind( systemfitModel$coef, coef( fitsur ) )

systemfit

Estimating Systems of Simultaneous Equations

v1.1-24

GPL (>= 2)

Authors

Arne Henningsen and Jeff D. Hamann

Initial release

2019-12-08