tests/test_ols.R

library( systemfit )
options( digits = 3 )

data( "Kmenta" )
useMatrix <- FALSE

demand <- consump ~ price + income
supply <- consump ~ price + farmPrice + trend
system <- list( demand = demand, supply = supply )
restrm <- matrix(0,1,7)  # restriction matrix "R"
restrm[1,3] <-  1
restrm[1,7] <- -1
restrict <- "demand_income - supply_trend = 0"
restr2m <- matrix(0,2,7)  # restriction matrix "R" 2
restr2m[1,3] <-  1
restr2m[1,7] <- -1
restr2m[2,2] <- -1
restr2m[2,5] <-  1
restr2q <- c( 0, 0.5 )    # restriction vector "q" 2
restrict2 <- c( "demand_income - supply_trend = 0",
   "- demand_price + supply_price = 0.5" )
tc <- matrix(0,7,6)
tc[1,1] <- 1
tc[2,2] <- 1
tc[3,3] <- 1
tc[4,4] <- 1
tc[5,5] <- 1
tc[6,6] <- 1
tc[7,3] <- 1
restr3m <- matrix(0,1,6)  # restriction matrix "R" 2
restr3m[1,2] <- -1
restr3m[1,5] <-  1
restr3q <- c( 0.5 )       # restriction vector "q" 2
restrict3 <- "- C2 + C5 = 0.5"

# It is not possible to estimate OLS with systemfit
# exactly as EViews does, because EViews uses
# methodResidCov == "geomean" for the coefficient covariance matrix and
# methodResidCov == "noDfCor" for the residual covariance matrix, while
# systemfit uses always the same formulas for both calculations.

## *******  single-equation OLS estimations  *********************
lmDemand <- lm( demand, data = Kmenta )
lmSupply <- lm( supply, data = Kmenta )

## *************** OLS estimation ************************
## ********** OLS estimation (default) ********************
fitols1 <- systemfit( system, "OLS", data = Kmenta, useMatrix = useMatrix )
print( summary( fitols1 ) )
nobs( fitols1 )
all.equal( coef( fitols1 ), c( coef( lmDemand ), coef( lmSupply ) ),
   check.attributes = FALSE )
all.equal( coef( summary( fitols1 ) ),
   rbind( coef( summary( lmDemand ) ), coef( summary( lmSupply ) ) ),
   check.attributes = FALSE )
all.equal( vcov( fitols1 ),
   as.matrix( bdiag( vcov( lmDemand ), vcov( lmSupply ) ) ),
   check.attributes = FALSE )

## ********** OLS estimation (no singleEqSigma=F) ******************
fitols1s <- systemfit( system, "OLS", data = Kmenta,
   singleEqSigma = FALSE, useMatrix = useMatrix )
print( summary( fitols1s ) )
all.equal( coef( fitols1s ), c( coef( lmDemand ), coef( lmSupply ) ),
   check.attributes = FALSE )

## ****************  OLS (useDfSys=T) ***********************
print( summary( fitols1, useDfSys = TRUE ) )

## ****************  OLS (methodResidCov="noDfCor") ***********************
fitols1r <- systemfit( system, "OLS", data = Kmenta,
   methodResidCov = "noDfCor", x = TRUE,
   useMatrix = useMatrix )
print( summary( fitols1r ) )
all.equal( coef( fitols1r ), c( coef( lmDemand ), coef( lmSupply ) ),
   check.attributes = FALSE )

## ********  OLS (methodResidCov="noDfCor", singleEqSigma=F) ***********
fitols1rs <- systemfit( system, "OLS", data = Kmenta,
   methodResidCov = "noDfCor", singleEqSigma = FALSE,
   useMatrix = useMatrix )
print( summary( fitols1rs ) )
all.equal( coef( fitols1rs ), c( coef( lmDemand ), coef( lmSupply ) ),
   check.attributes = FALSE )

## ****************  OLS (methodResidCov="Theil" ) ***********************
fitols1r <- systemfit( system, "OLS", data = Kmenta,
   methodResidCov = "Theil", x = TRUE,
   useMatrix = useMatrix )
print( summary( fitols1r ) )
all.equal( coef( fitols1r ), c( coef( lmDemand ), coef( lmSupply ) ),
   check.attributes = FALSE )

## ****************  OLS (methodResidCov="max") ***********************
fitols1r <- systemfit( system, "OLS", data = Kmenta,
   methodResidCov = "max", x = TRUE,
   useMatrix = useMatrix )
print( summary( fitols1r ) )

## ********  OLS (methodResidCov="max", singleEqSigma=F) ***********
fitols1rs <- systemfit( system, "OLS", data = Kmenta,
   methodResidCov = "max", singleEqSigma = FALSE,
   useMatrix = useMatrix )
print( summary( fitols1rs ) )


## ********* OLS with cross-equation restriction ************
## ****** OLS with cross-equation restriction (default) *********
fitols2 <- systemfit( system, "OLS", data = Kmenta,
   restrict.matrix = restrm, useMatrix = useMatrix )
print( summary( fitols2 ) )
# the same with symbolically specified restrictions
fitols2Sym <- systemfit( system, "OLS", data = Kmenta,
   restrict.matrix = restrict, useMatrix = useMatrix )
all.equal( fitols2, fitols2Sym )

## ****** OLS with cross-equation restriction (singleEqSigma=T) *******
fitols2s <- systemfit( system, "OLS", data = Kmenta,
   restrict.matrix = restrm, singleEqSigma = TRUE,
   useMatrix = useMatrix )
print( summary( fitols2s ) )

## ****** OLS with cross-equation restriction (useDfSys=F) *******
print( summary( fitols2, useDfSys = FALSE ) )

## ****** OLS with cross-equation restriction (methodResidCov="noDfCor") *******
fitols2r <- systemfit( system, "OLS", data = Kmenta,
   restrict.matrix = restrm, methodResidCov = "noDfCor",
   useMatrix = useMatrix )
print( summary( fitols2r ) )

## ** OLS with cross-equation restriction (methodResidCov="noDfCor",singleEqSigma=T) ***
fitols2rs <- systemfit( system, "OLS", data = Kmenta,
   restrict.matrix = restrm, methodResidCov = "noDfCor",
   x = TRUE, useMatrix = useMatrix )
print( summary( fitols2rs ) )

## *** OLS with cross-equation restriction via restrict.regMat ***
## *** OLS with cross-equation restriction via restrict.regMat (default) ***
fitols3 <- systemfit( system, "OLS", data = Kmenta, restrict.regMat = tc,
   x = TRUE, useMatrix = useMatrix )
print( summary( fitols3 ) )

## *** OLS with cross-equation restriction via restrict.regMat (singleEqSigma=T) ***
fitols3s <- systemfit( system, "OLS", data = Kmenta,
   restrict.regMat = tc, singleEqSigma = TRUE, useMatrix = useMatrix )
print( summary( fitols3s ) )

## *** OLS with cross-equation restriction via restrict.regMat (useDfSys=F) ***
print( summary( fitols3, useDfSys = FALSE ) )

## *** OLS with cross-equation restriction via restrict.regMat (methodResidCov="noDfCor") ***
fitols3r <- systemfit( system, "OLS", data = Kmenta,
   restrict.regMat = tc, methodResidCov = "noDfCor",
   useMatrix = useMatrix )
print( summary( fitols3r ) )

## OLS with cross-equation restriction via restrict.regMat (methodResidCov="noDfCor",singleEqSigma=T)
fitols3rs <- systemfit( system, "OLS", data = Kmenta,
   restrict.regMat = tc, methodResidCov = "noDfCor", singleEqSigma = TRUE,
   useMatrix = useMatrix )
print( summary( fitols3rs ) )

## ********* OLS with 2 cross-equation restrictions ***********
## ********* OLS with 2 cross-equation restrictions (default) ***********
fitols4 <- systemfit( system, "OLS", data = Kmenta, restrict.matrix = restr2m,
   restrict.rhs = restr2q, useMatrix = useMatrix )
print( summary( fitols4 ) )
# the same with symbolically specified restrictions
fitols4Sym <- systemfit( system, "OLS", data = Kmenta,
   restrict.matrix = restrict2, useMatrix = useMatrix )
all.equal( fitols4, fitols4Sym )

## ****** OLS with 2 cross-equation restrictions (singleEqSigma=T) *******
fitols4s <- systemfit( system, "OLS", data = Kmenta, restrict.matrix = restr2m,
   restrict.rhs = restr2q, singleEqSigma = TRUE, x = TRUE,
   useMatrix = useMatrix )
print( summary( fitols4s ) )

## ****** OLS with 2 cross-equation restrictions (useDfSys=F) *******
print( summary( fitols4, useDfSys = FALSE ) )

## ****** OLS with 2 cross-equation restrictions (methodResidCov="noDfCor") *******
fitols4r <- systemfit( system, "OLS", data = Kmenta, restrict.matrix = restr2m,
   restrict.rhs = restr2q, methodResidCov = "noDfCor",
   useMatrix = useMatrix )
print( summary( fitols4r ) )

## OLS with 2 cross-equation restrictions (methodResidCov="noDfCor", singleEqSigma=T) *
fitols4rs <- systemfit( system, "OLS", data = Kmenta, restrict.matrix = restr2m,
   restrict.rhs = restr2q, methodResidCov = "noDfCor",
   singleEqSigma = TRUE, useMatrix = useMatrix )
print( summary( fitols4rs ) )

## ***** OLS with 2 cross-equation restrictions via R and restrict.regMat ****
## ***** OLS with 2 cross-equation restrictions via R and restrict.regMat (default) ****
fitols5 <- systemfit( system, "OLS", data = Kmenta, restrict.matrix = restr3m,
   restrict.rhs = restr3q, restrict.regMat = tc, methodResidCov = "noDfCor",
   useMatrix = useMatrix )
print( summary( fitols5 ) )
# the same with symbolically specified restrictions
fitols5Sym <- systemfit( system, "OLS", data = Kmenta,
   restrict.matrix = restrict3, restrict.regMat = tc,
   methodResidCov = "noDfCor", useMatrix = useMatrix )
all.equal( fitols5, fitols5Sym )

## ***** OLS with 2 cross-equation restrictions via R and restrict.regMat (singleEqSigma=T) ****
fitols5s <- systemfit( system, "OLS", data = Kmenta,restrict.matrix = restr3m,
   restrict.rhs = restr3q, restrict.regMat = tc, singleEqSigma = T,
   x = TRUE, useMatrix = useMatrix )
print( summary( fitols5s ) )

## ***** OLS with 2 cross-equation restrictions via R and restrict.regMat (useDfSys=F) ****
fitols5o <- systemfit( system, "OLS", data = Kmenta,restrict.matrix = restr3m,
   restrict.rhs = restr3q, restrict.regMat = tc, useMatrix = useMatrix )
print( summary( fitols5o, useDfSys = FALSE ) )

## OLS with 2 cross-equation restr. via R and restrict.regMat (methodResidCov="noDfCor",singleEqSigma=T)
fitols5rs <- systemfit( system, "OLS", data = Kmenta,restrict.matrix = restr3m,
   restrict.rhs = restr3q, restrict.regMat = tc, methodResidCov = "noDfCor",
   singleEqSigma = TRUE, useMatrix = useMatrix )
print( summary( fitols5rs ) )


## *********** estimations with a single regressor ************
fitolsS1 <- systemfit(
   list( consump ~ price - 1, consump ~ price + trend ), "OLS",
   data = Kmenta, useMatrix = useMatrix )
print( summary( fitolsS1 ) )
fitolsS2 <- systemfit(
   list( consump ~ price - 1, consump ~ trend - 1 ), "OLS",
   data = Kmenta, useMatrix = useMatrix )
print( summary( fitolsS2 ) )
fitolsS3 <- systemfit(
   list( consump ~ trend - 1, price ~ trend - 1 ), "OLS",
   data = Kmenta, useMatrix = useMatrix )
print( summary( fitolsS3 ) )
fitolsS4 <- systemfit(
   list( consump ~ trend - 1, price ~ trend - 1 ), "OLS",
   data = Kmenta, restrict.matrix = matrix( c( 1, -1 ), nrow = 1 ),
   useMatrix = useMatrix )
print( summary( fitolsS4 ) )
fitolsS5 <- systemfit(
   list( consump ~ 1, farmPrice ~ 1 ), "OLS",
   data = Kmenta, useMatrix = useMatrix )
print( summary( fitolsS5 ) )


## **************** shorter summaries **********************
print( summary( fitols1, useDfSys = TRUE, equations = FALSE ) )

print( summary( fitols2r ), residCov = FALSE, equations = FALSE )

print( summary( fitols3s, useDfSys = FALSE ), residCov = TRUE )

print( summary( fitols4rs, residCov = FALSE, equations = FALSE ) )

print( summary( fitols5, equations = FALSE ), residCov = FALSE )


## ****************** residuals **************************
print( residuals( fitols1 ) )
print( residuals( fitols1$eq[[ 2 ]] ) )

print( residuals( fitols2r ) )
print( residuals( fitols2r$eq[[ 1 ]] ) )

print( residuals( fitols3s ) )
print( residuals( fitols3s$eq[[ 2 ]] ) )

print( residuals( fitols4rs ) )
print( residuals( fitols4rs$eq[[ 1 ]] ) )

print( residuals( fitols5 ) )
print( residuals( fitols5$eq[[ 2 ]] ) )


## *************** coefficients *********************
print( round( coef( fitols1rs ), digits = 6 ) )
print( round( coef( fitols1rs$eq[[ 2 ]] ), digits = 6 ) )

print( round( coef( fitols2s ), digits = 6 ) )
print( round( coef( fitols2s$eq[[ 1 ]] ), digits = 6 ) )

print( round( coef( fitols3 ), digits = 6 ) )
print( round( coef( fitols3, modified.regMat = TRUE ), digits = 6 ) )
print( round( coef( fitols3$eq[[ 2 ]] ), digits = 6 ) )

print( round( coef( fitols4r ), digits = 6 ) )
print( round( coef( fitols4r$eq[[ 1 ]] ), digits = 6 ) )

print( round( coef( fitols5 ), digits = 6 ) )
print( round( coef( fitols5, modified.regMat = TRUE ), digits = 6 ) )
print( round( coef( fitols5$eq[[ 2 ]] ), digits = 6 ) )


## *************** coefficients with stats *********************
print( round( coef( summary( fitols1rs, useDfSys = FALSE ) ), digits = 6 ) )
print( round( coef( summary( fitols1rs$eq[[ 2 ]], useDfSys = FALSE ) ),
   digits = 6 ) )

print( round( coef( summary( fitols2s ) ), digits = 6 ) )
print( round( coef( summary( fitols2s$eq[[ 1 ]] ) ), digits = 6 ) )

print( round( coef( summary( fitols3, useDfSys = FALSE ) ), digits = 6 ) )
print( round( coef( summary( fitols3, useDfSys = FALSE ), modified.regMat = TRUE ),
   digits = 6 ) )
print( round( coef( summary( fitols3$eq[[ 2 ]], useDfSys = FALSE ) ),
   digits = 6 ) )

print( round( coef( summary( fitols4r, useDfSys = FALSE ) ), digits = 6 ) )
print( round( coef( summary( fitols4r$eq[[ 1 ]], useDfSys = FALSE ) ),
   digits = 6 ) )

print( round( coef( summary( fitols5 ) ), digits = 6 ) )
print( round( coef( summary( fitols5 ), modified.regMat = TRUE ), digits = 6 ) )
print( round( coef( summary( fitols5$eq[[ 2 ]] ) ), digits = 6 ) )


## *********** variance covariance matrix of the coefficients *******
print( round( vcov( fitols1rs ), digits = 6 ) )
print( round( vcov( fitols1rs$eq[[ 2 ]] ), digits = 6 ) )

print( round( vcov( fitols2s ), digits = 6 ) )
print( round( vcov( fitols2s$eq[[ 1 ]] ), digits = 6 ) )

print( round( vcov( fitols3 ), digits = 6 ) )
print( round( vcov( fitols3, modified.regMat = TRUE ), digits = 6 ) )
print( round( vcov( fitols3$eq[[ 2 ]] ), digits = 6 ) )

print( round( vcov( fitols4r ), digits = 6 ) )
print( round( vcov( fitols4r$eq[[ 1 ]] ), digits = 6 ) )

print( round( vcov( fitols5 ), digits = 6 ) )
print( round( vcov( fitols5, modified.regMat = TRUE ), digits = 6 ) )
print( round( vcov( fitols5$eq[[ 2 ]] ), digits = 6 ) )


## *********** confidence intervals of coefficients *************
print( confint( fitols1, useDfSys = TRUE ) )
print( confint( fitols1$eq[[ 2 ]], level = 0.9, useDfSys = TRUE ) )

print( confint( fitols2r, level = 0.9 ) )
print( confint( fitols2r$eq[[ 1 ]], level = 0.99 ) )

print( confint( fitols3s, level = 0.99 ) )
print( confint( fitols3s$eq[[ 2 ]], level = 0.5 ) )

print( confint( fitols4rs, level = 0.5 ) )
print( confint( fitols4rs$eq[[ 1 ]], level = 0.25 ) )

print( confint( fitols5, level = 0.25 ) )
print( confint( fitols5$eq[[ 2 ]], level = 0.999 ) )

print( confint( fitols3, level = 0.999, useDfSys = FALSE ) )
print( confint( fitols3$eq[[ 1 ]], useDfSys = FALSE ) )


## *********** fitted values *************
print( fitted( fitols1 ) )
print( fitted( fitols1$eq[[ 2 ]] ) )

print( fitted( fitols2r ) )
print( fitted( fitols2r$eq[[ 1 ]] ) )

print( fitted( fitols3s ) )
print( fitted( fitols3s$eq[[ 2 ]] ) )

print( fitted( fitols4rs ) )
print( fitted( fitols4rs$eq[[ 1 ]] ) )

print( fitted( fitols5 ) )
print( fitted( fitols5$eq[[ 2 ]] ) )


## *********** predicted values *************
predictData <- Kmenta
predictData$consump <- NULL
predictData$price <- Kmenta$price * 0.9
predictData$income <- Kmenta$income * 1.1

print( predict( fitols1, se.fit = TRUE, interval = "prediction",
   useDfSys = TRUE ) )
print( predict( fitols1$eq[[ 2 ]], se.fit = TRUE, interval = "prediction",
   useDfSys = TRUE ) )

print( predict( fitols2r, se.pred = TRUE, interval = "confidence",
   level = 0.999, newdata = predictData ) )
print( predict( fitols2r$eq[[ 1 ]], se.pred = TRUE, interval = "confidence",
   level = 0.999, newdata = predictData ) )

print( predict( fitols3s, se.fit = TRUE, se.pred = TRUE,
   interval = "prediction", level = 0.5, newdata = predictData ) )
print( predict( fitols3s$eq[[ 2 ]], se.fit = TRUE, se.pred = TRUE,
   interval = "prediction", level = 0.5, newdata = predictData ) )

print( predict( fitols4rs, se.fit = TRUE, se.pred = TRUE,
   interval = "confidence", level = 0.99 ) )
print( predict( fitols4rs$eq[[ 1 ]], se.fit = TRUE, se.pred = TRUE,
   interval = "confidence", level = 0.99 ) )

print( predict( fitols5, se.fit = TRUE, interval = "prediction",
   level = 0.9, newdata = predictData ) )
print( predict( fitols5$eq[[ 2 ]], se.fit = TRUE, interval = "prediction",
   level = 0.9, newdata = predictData ) )

# predict just one observation
smallData <- data.frame( price = 130, income = 150, farmPrice = 120,
   trend = 25 )

print( predict( fitols1, newdata = smallData ) )
print( predict( fitols1$eq[[ 1 ]], newdata = smallData ) )

print( predict( fitols2r, se.fit = TRUE, level = 0.9,
   newdata = smallData ) )
print( predict( fitols2r$eq[[ 1 ]], se.pred = TRUE, level = 0.99,
   newdata = smallData ) )

print( predict( fitols3s, interval = "prediction", level = 0.975,
   newdata = smallData ) )
print( predict( fitols3s$eq[[ 1 ]], interval = "confidence", level = 0.8,
   newdata = smallData ) )

print( predict( fitols4rs, se.fit = TRUE, interval = "confidence",
   level = 0.999, newdata = smallData ) )
print( predict( fitols4rs$eq[[ 2 ]], se.pred = TRUE, interval = "prediction",
   level = 0.75, newdata = smallData ) )

print( predict( fitols5, se.fit = TRUE, interval = "prediction",
   newdata = smallData ) )
print( predict( fitols5$eq[[ 1 ]], se.pred = TRUE, interval = "confidence",
   newdata = smallData ) )

print( predict( fitols5rs, se.fit = TRUE, se.pred = TRUE,
   interval = "prediction", level = 0.5, newdata = smallData ) )
print( predict( fitols5rs$eq[[ 1 ]], se.fit = TRUE, se.pred = TRUE,
   interval = "confidence", level = 0.25, newdata = smallData ) )


## ************ correlation of predicted values ***************
print( correlation.systemfit( fitols1, 1, 2 ) )

print( correlation.systemfit( fitols2r, 2, 1 ) )

print( correlation.systemfit( fitols3s, 1, 2 ) )

print( correlation.systemfit( fitols4rs, 2, 1 ) )

print( correlation.systemfit( fitols5, 1, 2 ) )


## ************ Log-Likelihood values ***************
print( logLik( fitols1 ) )
print( logLik( fitols1, residCovDiag = TRUE ) )
all.equal( logLik( fitols1, residCovDiag = TRUE ),
   logLik( lmDemand ) + logLik( lmSupply ),
   check.attributes = FALSE )

print( logLik( fitols2r ) )
print( logLik( fitols2r, residCovDiag = TRUE ) )

print( logLik( fitols3s ) )
print( logLik( fitols3s, residCovDiag = TRUE ) )

print( logLik( fitols4rs ) )
print( logLik( fitols4rs, residCovDiag = TRUE ) )

print( logLik( fitols5 ) )
print( logLik( fitols5, residCovDiag = TRUE ) )


## ************** F tests ****************
# testing first restriction
print( linearHypothesis( fitols1, restrm ) )
linearHypothesis( fitols1, restrict )

print( linearHypothesis( fitols1s, restrm ) )
linearHypothesis( fitols1s, restrict )

print( linearHypothesis( fitols1, restrm ) )
linearHypothesis( fitols1, restrict )

print( linearHypothesis( fitols1r, restrm ) )
linearHypothesis( fitols1r, restrict )

# testing second restriction
restrOnly2m <- matrix(0,1,7)
restrOnly2q <- 0.5
restrOnly2m[1,2] <- -1
restrOnly2m[1,5] <-  1
restrictOnly2 <- "- demand_price + supply_price = 0.5"
# first restriction not imposed 
print( linearHypothesis( fitols1, restrOnly2m, restrOnly2q ) )
linearHypothesis( fitols1, restrictOnly2 )

# first restriction imposed
print( linearHypothesis( fitols2, restrOnly2m, restrOnly2q ) )
linearHypothesis( fitols2, restrictOnly2 )

print( linearHypothesis( fitols3, restrOnly2m, restrOnly2q ) )
linearHypothesis( fitols3, restrictOnly2 )

# testing both of the restrictions
print( linearHypothesis( fitols1, restr2m, restr2q ) )
linearHypothesis( fitols1, restrict2 )


## ************** Wald tests ****************
# testing first restriction
print( linearHypothesis( fitols1, restrm, test = "Chisq" ) )
linearHypothesis( fitols1, restrict, test = "Chisq" )

print( linearHypothesis( fitols1s, restrm, test = "Chisq" ) )
linearHypothesis( fitols1s, restrict, test = "Chisq" )

print( linearHypothesis( fitols1, restrm, test = "Chisq" ) )
linearHypothesis( fitols1, restrict, test = "Chisq" )

print( linearHypothesis( fitols1r, restrm, test = "Chisq" ) )
linearHypothesis( fitols1r, restrict, test = "Chisq" )

# testing second restriction
# first restriction not imposed
print( linearHypothesis( fitols1, restrOnly2m, restrOnly2q, test = "Chisq" ) )
linearHypothesis( fitols1, restrictOnly2, test = "Chisq" )
# first restriction imposed
print( linearHypothesis( fitols2, restrOnly2m, restrOnly2q, test = "Chisq" ) )
linearHypothesis( fitols2, restrictOnly2, test = "Chisq" )

print( linearHypothesis( fitols3, restrOnly2m, restrOnly2q, test = "Chisq" ) )
linearHypothesis( fitols3, restrictOnly2, test = "Chisq" )

# testing both of the restrictions
print( linearHypothesis( fitols1, restr2m, restr2q, test = "Chisq" ) )
linearHypothesis( fitols1, restrict2, test = "Chisq" )


## ****************** model frame **************************
print( mf <- model.frame( fitols1 ) )
print( mf1 <- model.frame( fitols1$eq[[ 1 ]] ) )
print( attributes( mf1 )$terms )
print( mf2 <- model.frame( fitols1$eq[[ 2 ]] ) )
print( attributes( mf2 )$terms )

print( all.equal( mf, model.frame( fitols2r ) ) )
print( all.equal( mf1, model.frame( fitols2r$eq[[ 1 ]] ) ) )

print( all.equal( mf, model.frame( fitols3s ) ) )
print( all.equal( mf2, model.frame( fitols3s$eq[[ 2 ]] ) ) )

print( all.equal( mf, model.frame( fitols4rs ) ) )
print( all.equal( mf1, model.frame( fitols4rs$eq[[ 1 ]] ) ) )

print( all.equal( mf, model.frame( fitols5 ) ) )
print( all.equal( mf2, model.frame( fitols5$eq[[ 2 ]] ) ) )


## **************** model matrix ************************
# with x (returnModelMatrix) = TRUE
print( !is.null( fitols1r$eq[[ 1 ]]$x ) )
print( mm <- model.matrix( fitols1r ) )
print( mm1 <- model.matrix( fitols1r$eq[[ 1 ]] ) )
print( mm2 <- model.matrix( fitols1r$eq[[ 2 ]] ) )

# with x (returnModelMatrix) = FALSE
print( all.equal( mm, model.matrix( fitols1rs ) ) )
print( all.equal( mm1, model.matrix( fitols1rs$eq[[ 1 ]] ) ) )
print( all.equal( mm2, model.matrix( fitols1rs$eq[[ 2 ]] ) ) )
print( !is.null( fitols1rs$eq[[ 1 ]]$x ) )

# with x (returnModelMatrix) = TRUE
print( !is.null( fitols2rs$eq[[ 1 ]]$x ) )
print( all.equal( mm, model.matrix( fitols2rs ) ) )
print( all.equal( mm1, model.matrix( fitols2rs$eq[[ 1 ]] ) ) )
print( all.equal( mm2, model.matrix( fitols2rs$eq[[ 2 ]] ) ) )

# with x (returnModelMatrix) = FALSE
print( all.equal( mm, model.matrix( fitols2 ) ) )
print( all.equal( mm1, model.matrix( fitols2$eq[[ 1 ]] ) ) )
print( all.equal( mm2, model.matrix( fitols2$eq[[ 2 ]] ) ) )
print( !is.null( fitols2$eq[[ 1 ]]$x ) )

# with x (returnModelMatrix) = TRUE
print( !is.null( fitols3$eq[[ 1 ]]$x ) )
print( all.equal( mm, model.matrix( fitols3 ) ) )
print( all.equal( mm1, model.matrix( fitols3$eq[[ 1 ]] ) ) )
print( all.equal( mm2, model.matrix( fitols3$eq[[ 2 ]] ) ) )

# with x (returnModelMatrix) = FALSE
print( all.equal( mm, model.matrix( fitols3r ) ) )
print( all.equal( mm1, model.matrix( fitols3r$eq[[ 1 ]] ) ) )
print( all.equal( mm2, model.matrix( fitols3r$eq[[ 2 ]] ) ) )
print( !is.null( fitols3r$eq[[ 1 ]]$x ) )

# with x (returnModelMatrix) = TRUE
print( !is.null( fitols4s$eq[[ 1 ]]$x ) )
print( all.equal( mm, model.matrix( fitols4s ) ) )
print( all.equal( mm1, model.matrix( fitols4s$eq[[ 1 ]] ) ) )
print( all.equal( mm2, model.matrix( fitols4s$eq[[ 2 ]] ) ) )

# with x (returnModelMatrix) = FALSE
print( all.equal( mm, model.matrix( fitols4Sym ) ) )
print( all.equal( mm1, model.matrix( fitols4Sym$eq[[ 1 ]] ) ) )
print( all.equal( mm2, model.matrix( fitols4Sym$eq[[ 2 ]] ) ) )
print( !is.null( fitols4Sym$eq[[ 1 ]]$x ) )

# with x (returnModelMatrix) = TRUE
print( !is.null( fitols5s$eq[[ 1 ]]$x ) )
print( all.equal( mm, model.matrix( fitols5s ) ) )
print( all.equal( mm1, model.matrix( fitols5s$eq[[ 1 ]] ) ) )
print( all.equal( mm2, model.matrix( fitols5s$eq[[ 2 ]] ) ) )

# with x (returnModelMatrix) = FALSE
print( all.equal( mm, model.matrix( fitols5 ) ) )
print( all.equal( mm1, model.matrix( fitols5$eq[[ 1 ]] ) ) )
print( all.equal( mm2, model.matrix( fitols5$eq[[ 2 ]] ) ) )
print( !is.null( fitols5$eq[[ 1 ]]$x ) )

try( model.matrix( fitols1, which = "z" ) )


## **************** formulas ************************
formula( fitols1 )
formula( fitols1$eq[[ 2 ]] )

formula( fitols2r )
formula( fitols2r$eq[[ 1 ]] )

formula( fitols3s )
formula( fitols3s$eq[[ 2 ]] )

formula( fitols4rs )
formula( fitols4rs$eq[[ 1 ]] )

formula( fitols5 )
formula( fitols5$eq[[ 2 ]] )


## **************** model terms *******************
terms( fitols1 )
terms( fitols1$eq[[ 2 ]] )

terms( fitols2r )
terms( fitols2r$eq[[ 1 ]] )

terms( fitols3s )
terms( fitols3s$eq[[ 2 ]] )

terms( fitols4rs )
terms( fitols4rs$eq[[ 1 ]] )

terms( fitols5 )
terms( fitols5$eq[[ 2 ]] )


## **************** estfun ************************
library( "sandwich" )

estfun( fitols1 )
round( colSums( estfun( fitols1 ) ), digits = 7 )

estfun( fitols1s )
round( colSums( estfun( fitols1s ) ), digits = 7 )

estfun( fitols1r )
round( colSums( estfun( fitols1r ) ), digits = 7 )

try( estfun( fitols2 ) )

try( estfun( fitols2Sym ) )

try( estfun( fitols3s ) )

try( estfun( fitols4r ) )

try( estfun( fitols4Sym ) )

try( estfun( fitols5 ) )

try( estfun( fitols5Sym ) )


## **************** bread ************************
bread( fitols1 )

bread( fitols1s )

bread( fitols1r )

try( bread( fitols2 ) )

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systemfit documentation built on May 29, 2017, 9:50 p.m.