createSystemfitModel: Create a Model for systemfit

In systemfit: Estimating Systems of Simultaneous Equations

Create a Model for systemfit

Description

This function creates a model that can be estimated by systemfit. The data, disturbances, and — if not provided by the user — the coefficients as well as the disturbance covariance matrix are generated by random numbers.

Usage

createSystemfitModel( nEq, nRegEq, nObs, coef = NULL, sigma = NULL )

Arguments

nEq	the number of equations.
nRegEq	the number of regressors in each equation (without the intercept).
nObs	the number of observations.
coef	an optional vector of coefficients.
sigma	an optional covariance matrix of the disturbance terms.

Value

createSystemfitModel returns a list with following elements:

formula	a list of the model equations (objects of class formula).
data	a data.frame that contains the data.
coef	a vector of (true) coefficients.
sigma	the covariance matrix of the disturbance terms.

Author(s)

Arne Henningsen [e-mail]

See Also

systemfit

Examples

## create a model by random numbers
systemfitModel <- createSystemfitModel( 3, 4, 100 )

## estimate this model by "SUR"
fitsur <- systemfit( systemfitModel$formula, "SUR", data = systemfitModel$data )

## compare the "true" and the estimated coefficients
cbind( systemfitModel$coef, coef( fitsur ) )

systemfit documentation built on March 31, 2023, 3:07 p.m.