ThreeSLS-methods: Methods for Function 'ThreeSLS' in Package 'gmm4'
In gmm4: S4 Generalized Method of Moments

Description Usage Arguments Methods

Method to estimate system of equations by Three-Stage least squares (3SLS) or, as a special case, by Seemingly Unrelatd Regressions (SUR).

## S4 method for signature 'slinearGmm'
ThreeSLS(model, coefOnly=FALSE, qrZ=NULL,
Sigma=NULL)
## S4 method for signature 'rslinearGmm'
ThreeSLS(model, coefOnly=FALSE, qrZ=NULL,
Sigma=NULL)

`model`	An object of class `"slinearGmm"` in which instruments are the same in each equation and the error terms are homoscedastic.
`coefOnly`	Should the method return the only the coefficients or create an object of class `"sgmmfit"`.
`qrZ`	The qr decomposition of the common instruments. It is mostly used by `modelFit` to avoid recomputing it in iterative GMM or CUE. It should not be used directly unless the user knows what he is doing.
`Sigma`	The covariance matrix of the residuals. If not provided, it is computed using the residuals of the equation by equation two-stage least squares. It should not be used directly unless the user knows what he is doing.

signature(model = "slinearGmm"): The method is specifically for system of linear models with the same instruments and homoscedastic errors. It becomes SUR as a special case when the instruments are the union of all regressors.
signature(model = "rslinearGmm"): This method is for restricted models that does not impose cross-equation restrictions. With such restrictions 3SLS is not possible as we can no longer write the model as a system of equations.