文章基本信息

标题：systemfit: A Package for Estimating Systems of Simultaneous Equations in R
本地全文：下载
作者：Arne Henningsen ; Jeff D. Hamann
期刊名称：Journal of Statistical Software
印刷版ISSN：1548-7660
电子版ISSN：1548-7660
出版年度：2007
卷号：23
期号：1
页码：1-40
语种：English
出版社：University of California, Los Angeles
摘要：Many statistical analyses (e.g., in econometrics, biostatistics and experimental design) are based on models containing systems of structurally related equations. The systemfit package provides the capability to estimate systems of linear equations within the R programming environment. For instance, this package can be used for "ordinary least squares" (OLS), "seemingly unrelated regression" (SUR), and the instrumental variable (IV) methods "two-stage least squares" (2SLS) and "three-stage least squares" (3SLS), where SUR and 3SLS estimations can optionally be iterated. Furthermore, the systemfit package provides tools for several statistical tests. It has been tested on a variety of datasets and its reliability is demonstrated.