# vcov.systemfit: Variance covariance matrix of coefficients In systemfit: Estimating Systems of Simultaneous Equations

## Description

These functions extract the variance covariance matrix of the coefficients from an object returned by `systemfit`.

## Usage

 ```1 2 3 4 5``` ``` ## 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 [email protected]

`systemfit`, `vcov`
 ``` 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31``` ```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 ) ```