systemfit: A Package for Estimating Systems of Simultaneous Equations in R

• Main Authors: Arne Henningsen, Jeff D. Hamann
• Format: Article
• Language: English
• Published: Foundation for Open Access Statistics 2007-10-01
• Series: Journal of Statistical Software
• Subjects: R; system of simultaneous equations; seemingly unrelated regression; two-stage least squares; three-stage least squares; instrumental variables
• Online Access: http://www.jstatsoft.org/v23/i04/paper

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.