confint.systemfit: Confidence intervals of coefficients

In systemfit: Estimating Systems of Simultaneous Equations

Confidence intervals of coefficients

Description

These functions calculate the confidence intervals of the coefficients from an object returned by systemfit.

Usage

   ## S3 method for class 'systemfit'
confint( object, parm = NULL, level = 0.95,
      useDfSys = NULL, ... )

   ## S3 method for class 'systemfit.equation'
confint( object, parm, level = 0.95,
      useDfSys = NULL, ... )

Arguments

object	an object of class systemfit or systemfit.equation.
parm	not used yet.
level	confidence level.
useDfSys	logical. Use the degrees of freedom of the whole system (in place of the degrees of freedom of the single equation) to calculate the confidence intervals of the coefficients. If it not specified (NULL), it is set to TRUE if restrictions on the coefficients are imposed and FALSE otherwise.
...	other arguments.

Value

An object of class confint.systemfit, which is a matrix with columns giving lower and upper confidence limits for each estimated coefficient. These will be labelled as (1-level)/2 and 1 - (1-level)/2 in % (by default 2.5% and 97.5%).

Author(s)

Arne Henningsen [e-mail]

See Also

systemfit, print.confint.systemfit, confint

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 )

## confidence intervals of all coefficients
confint( fitols )

## confidence intervals of the coefficients of the first equation
confint( fitols$eq[[1]] )

## confidence intervals of the coefficients of the second equation
confint( fitols$eq[[2]] )

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