vcov.systemfit: Variance covariance matrix of coefficients

In systemfit: Estimating Systems of Simultaneous Equations

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)

Arne Henningsen [e-mail]

See Also

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.