summary.systemfit: Summary of systemfit estimation In systemfit: Estimating Systems of Simultaneous Equations

 summary.systemfit R Documentation

Summary of systemfit estimation

Description

These functions create and print summary results of the estimated equation system.

Usage

``````   ## S3 method for class 'systemfit'
summary( object, useDfSys = NULL,
residCov = TRUE, equations = TRUE, ... )

## S3 method for class 'systemfit.equation'
summary( object, useDfSys = NULL, ... )

## S3 method for class 'summary.systemfit'
print( x,
digits = max( 3, getOption("digits") - 1 ),
residCov = x\$printResidCov, equations = x\$printEquations, ... )

## S3 method for class 'summary.systemfit.equation'
print( x,
digits = max( 3, getOption("digits") - 1 ), ... )
``````

Arguments

 `object` an object of class `systemfit` or `systemfit.equation`. `x` an object of class `summary.systemfit` or `summary.systemfit.equation`. `useDfSys` logical. Use the degrees of freedom of the whole system (in place of the degrees of freedom of the single equation) to calculate prob values for the t-test of individual coefficients. If it not specified (`NULL`), it is set to `TRUE` if restrictions on the coefficients are imposed and `FALSE` otherwise. `digits` number of digits to print. `residCov` logical. If `TRUE`, the residual correlation matrix, the residual covariance matrix, and its determinant are printed. `equations` logical. If `TRUE`, summary results of each equation are printed. If `FALSE`, just the coefficients are printed. `...` not used by user.

Value

Applying `summary` on an object of class `systemfit` returns a list of class `summary.systemfit`. Applying `summary` on an object of class `systemfit.equation` returns a list of class `summary.systemfit.equation`. An object of class `summary.systemfit` contains all results that belong to the whole system. This list contains one special object: `eq`. This is a list and contains objects of class `summary.systemfit.equation`. These objects contain the results that belong to each of the eatimated equations.

The objects of classes `summary.systemfit` and `summary.systemfit.equation` have the following components (elements that are marked with a `*` are available only in objects of class `summary.systemfit`; elements that are marked with a `+` are available only in objects of class `summary.systemfit.equation`):

 `method` estimation method. `residuals` residuals. `coefficients` a matrix with columns for the estimated coefficients, their standard errors, t-statistic and corresponding (two-sided) p-values. `df` degrees of freedom, a 2-vector, where the first element is the number of coefficients and the second element is the number of observations minus the number of coefficients. `coefCov` estimated covariance matrix of the coefficients. `call*` the matched call of `systemfit`. `ols.r.squared*` OLS `R^2` value of the entire system. `mcelroy.r.squared*` McElroy's `R^2` value for the system. `iter*` number of iteration steps (only if the estimation is iterated). `control*` list of control parameters used for the estimation. `residCov*` estimated residual covariance matrix. `residCovEst*` residual covariance matrix used for estimation (only SUR and 3SLS). `residCor*` correlation matrix of the residuals. `detResidCov*` determinant of `residCov`. `eqnLabel+` equation label. `eqnNo+` equation number. `terms+` the 'terms' object used for the respective equation. `r.squared+` `R^2` value of the respective equation. `adj.r.squared+` adjusted `R^2` value of the respective equation. `sigma+` estimated standard error of the residuals of the respective equation. `ssr+` sum of squared residuals of the respective equation. `printResidCov*` argument `residCov`. `printEquations*` argument `equations`.

Author(s)

Jeff D. Hamann jeff.hamann@forestinformatics.com,

`systemfit`, `print.systemfit`

Examples

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

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

## results of the system
summary( fitols )

## short results of the system
summary( fitols, residCov = FALSE, equations = FALSE )

## results of the first equation
summary( fitols\$eq[[1]] )

## results of the second equation
summary( fitols\$eq[[2]] )
``````

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