Published by the Foundation for Open Access Statistics
Editors-in-chief: Bettina GrĂ¼n, Edzer Pebesma & Achim Zeileis    ISSN 1548-7660; CODEN JSSOBK
systemfit: A Package for Estimating Systems of Simultaneous Equations in R | Henningsen | Journal of Statistical Software
Authors: Arne Henningsen, Jeff D. Hamann
Title: systemfit: A Package for Estimating Systems of Simultaneous Equations in R
Abstract: 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.

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Paper: systemfit: A Package for Estimating Systems of Simultaneous Equations in R     Download PDF (Downloads: 19188)
Supplements:
systemfit_1.0-2.tar.gz: R source package Download (Downloads: 1717; 365KB)
v23i04.zip: R example scripts from the paper Download (Downloads: 1817; 2KB)

DOI: 10.18637/jss.v023.i04

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Code: GNU General Public License (at least one of version 2 or version 3) or a GPL-compatible license.