systemfit

News

• News about the systemfit project are available at the project's R-Forge site.

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?

• Arne Henningsen
• Jeff D. Hamann

Where can I get systemfit?

• The released version is available on CRAN
  • You can download the source code, binaries for MacOS X and MS-Windows, the reference manual, and a vignette from http://cran.r-project.org/web/packages/systemfit/index.html.
  • You can install the package by typing at the R prompt (if you have internet access):

     install.packages( "systemfit" )

• The current development version is available on R-Forge
  • You can download the source code and binaries for MacOS X and MS-Windows from http://r-forge.r-project.org/R/?group_id=242.
  • You can install the package by typing at the R prompt (if you have internet access):

     install.packages( "systemfit", repos="http://R-Forge.R-project.org" )

Under which license is systemfit released?

• Under the GNU General Public License (GPL)

Where can I ask questions, report bugs, or suggest new features?

• Please use a forum or "tracker" at the project's R-Forge site.

FAQ

• Can the systemfit package estimate a system of non-linear equations?
  The systemfit package provides the function nlsystemfit, which can estimate systems of non-linear equations. However, while the code for estimating systems of linear equations (function systemfit) has been very mature and reliable for many years, the estimation of systems of non-linear equations (function nlsystemfit) is still under development and often has convergence problems. Therefore, we cannot recommend using function nlsystemfit for serious applications.
• Can the systemfit package estimate panel data models?
  Function systemfit can estimate a system of equations with panel data if the same (single) equation is estimated for each individual. However, it cannot (yet) estimate arbitrary systems of multiple equations as panel data models (except for pooled regression).