coef.systemfit: Coefficients of systemfit object

In systemfit: Estimating Systems of Simultaneous Equations

Coefficients of systemfit object

Description

These functions extract the coefficients from an object returned by systemfit.

Usage

   ## S3 method for class 'systemfit'
coef( object, modified.regMat = FALSE, ... )

   ## S3 method for class 'systemfit.equation'
coef( object, ... )

   ## S3 method for class 'summary.systemfit'
coef( object, modified.regMat = FALSE, ... )

   ## S3 method for class 'summary.systemfit.equation'
coef( object, ... )

Arguments

object	an object of class systemfit, systemfit.equation, summary.systemfit, or summary.systemfit.equation.
modified.regMat	logical. If TRUE, the coefficients of the modified regressor matrix (original regressor matrix post-multiplied by restrict.regMat) rather than the coefficients of the original regressor matrix are returned.
...	other arguments.

Value

coef.systemfit returns a vector of all estimated coefficients.

coef.systemfit.equation returns a vector of the estimated coefficients of a single equation.

coef.summary.systemfit returns a matrix of all estimated coefficients, their standard errors, t-values, and p-values.

coef.summary.systemfit.equation returns a matrix of the estimated coefficients of a single equation, their standard errors, t-values, and p-values.

Author(s)

Arne Henningsen [e-mail]

See Also

systemfit, coef

Examples

data( "Kmenta" )
eqDemand <- consump ~ price + income
eqSupply <- consump ~ price + farmPrice + trend
system <- list( demand = eqDemand, supply = eqSupply )

## perform OLS on each of the equations in the system
fitols <- systemfit( system, data = Kmenta )

## all coefficients
coef( fitols )
coef( summary( fitols ) )

## coefficients of the first equation
coef( fitols$eq[[1]] )
coef( summary( fitols$eq[[1]] ) )

## coefficients of the second equation
coef( fitols$eq[[2]] )
coef( summary( fitols$eq[[2]] ) )

## estimation with restriction by modifying the regressor matrix
modReg <- matrix( 0, 7, 6 )
colnames( modReg ) <- c( "demIntercept", "demPrice", "demIncome",
   "supIntercept", "supPrice2", "supTrend" )
modReg[ 1, "demIntercept" ] <- 1
modReg[ 2, "demPrice" ]     <- 1
modReg[ 3, "demIncome" ]    <- 1
modReg[ 4, "supIntercept" ] <- 1
modReg[ 5, "supPrice2" ]    <- 1
modReg[ 6, "supPrice2" ]    <- 1
modReg[ 7, "supTrend" ]     <- 1
fitols3 <- systemfit( system, data = Kmenta, restrict.regMat = modReg )
coef( fitols3, modified.regMat  = TRUE )
coef( fitols3 )

systemfit documentation built on March 31, 2023, 9:26 p.m.