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systemfit: A Package to Estimate Simultaneous Equation Systems in R

Arne Henningsen and Jeff Hamann

MPRA Paper from University Library of Munich, Germany

Abstract: Many statistical analyses are based on models containing systems of structurally related equations. In cases where cross-equation disturbances are correlated, full information methods are required (Zellner, 1962). If exogenous variables are stochastically dependent on the disturbances in the system, then instrumental variable estimation methods should be used (Zellner and Theil, 1962) The package systemfit provides the capability to estimate systems of linear equations within the R programming environment.

Keywords: simultaneous equations systems; seemingly unrelated regression; two-stage least squares; three-stage least squares; R (search for similar items in EconPapers)
JEL-codes: C30 C13 (search for similar items in EconPapers)
Date: 2006-03-15
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