systemfit
A Package for Estimating Systems of Simultaneous Equations in R
News
- September 12, 2008
The systemfit package is developed on R-Forge now.
Its summary page is available here.
- December 28, 2007
Version 1.0 of the systemfit package has been released on
CRAN.
Please note that this version is not backward compatible
(see
announcement on the R-packages mailing list).
What is systemfit?
-
systemfit is an extension package for the "language and environment for statistical computing and graphics" called R.
-
systemfit provides functions for estimating systems of simultaneous equations, e.g. by Ordinary Least Squares (OLS), Seemingly Unrelated Regressions (SUR), Two-Stage Least Squares (2SLS), and Three-Stage Least Squares (3SLS).
-
systemfit allows the user to specify either the same instrumental variables for all equations or different instrumental variables for each equation.
-
systemfit allows the user to control many details of the estimation (in contrast to most other statistical and econometric software packages), e.g. the method to calculate the residual covariance and the method for the 3SLS estimation.
-
systemfit provides statistical tests for parameter restrictions and consistency of the 3SLS estimation.
-
systemfit has been tested on a variety of datasets and has produced satisfactory for a few years.
Who has written systemfit?
Where can I get systemfit?
- The released version is available on
CRAN
- The current development version is available on
R-Forge
Under which license is systemfit released?
How can I contact you?
Last Update: 10 January 2009