# vcov.systemfit: Variance covariance matrix of coefficients In systemfit: Estimating Systems of Simultaneous Equations

 vcov.systemfit R Documentation

## Variance covariance matrix of coefficients

### Description

These functions extract the variance covariance matrix of the coefficients from an object returned by `systemfit`.

### Usage

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

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

### Arguments

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

### Value

`vcov.systemfit` returns the variance covariance matrix of all estimated coefficients.

### Author(s)

`systemfit`, `vcov`

### 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 )

## variance covariance matrix of all coefficients
vcov( fitols )

## variance covariance matrix of the coefficients in the first equation
vcov( fitols\$eq[[1]] )

## variance covariance matrix of the coefficients in the second equation
vcov( 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
fitsur <- systemfit( system, "SUR", data = Kmenta, restrict.regMat = modReg )
vcov( fitsur, modified.regMat  = TRUE )
vcov( fitsur )
``````

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