ThreeSLS-methods | R Documentation |
ThreeSLS
in Package momentfit ~~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 'slinearModel'
ThreeSLS(model, coefOnly=FALSE, qrZ=NULL,
Sigma=NULL)
## S4 method for signature 'rslinearModel'
ThreeSLS(model, coefOnly=FALSE, qrZ=NULL,
Sigma=NULL)
model |
An object of class |
coefOnly |
Should the method return the only the coefficients or
create an object of class |
qrZ |
The qr decomposition of the common instruments. It is
mostly used by |
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 = "slinearModel")
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 = "rslinearModel")
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.
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