createSystemfitModel        package:systemfit        R Documentation

_C_r_e_a_t_e _a _M_o_d_e_l _f_o_r _s_y_s_t_e_m_f_i_t

_D_e_s_c_r_i_p_t_i_o_n:

     This function creates a model that can be estimated by
     'systemfit'. The data, disturbances, and - if not provided by the
     user - the coefficients as well as the disturbance covariance
     matrix are generated by random numbers.

_U_s_a_g_e:

     createSystemfitModel( nEq, nRegEq, nObs, coef = NULL, sigma = NULL )

_A_r_g_u_m_e_n_t_s:

     nEq: the number of equations.

  nRegEq: the number of regressors in each equation (without the
          intercept).

    nObs: the number of observations.

    coef: an optional vector of coefficients.

   sigma: an optional covariance matrix of the disturbance terms.

_V_a_l_u_e:

     'createSystemfitModel' returns a list with following elements:

 formula: a list of the model equations (objects of class 'formula').

    data: a 'data.frame' that contains the data.

    coef: a vector of (true) coefficients.

   sigma: the covariance matrix of the disturbance terms.

_A_u_t_h_o_r(_s):

     Arne Henningsen arne.henningsen@googlemail.com

_S_e_e _A_l_s_o:

     'systemfit'

_E_x_a_m_p_l_e_s:

     ## create a model by random numbers
     systemfitModel <- createSystemfitModel( 3, 4, 100 )

     ## estimate this model by "SUR"
     fitsur <- systemfit( systemfitModel$formula, "SUR", data = systemfitModel$data )

     ## compare the "true" and the estimated coefficients
     cbind( systemfitModel$coef, coef( fitsur ) )

