Kmenta               package:systemfit               R Documentation

_P_a_r_t_l_y _A_r_t_i_f_i_c_i_a_l _D_a_t_a _o_n _t_h_e _U. _S. _E_c_o_n_o_m_y

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

     These are partly contrived data from Kmenta (1986), constructed to
     illustrate estimation of a simultaneous-equation model.

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

        data("Kmenta")

_F_o_r_m_a_t:

     This data frame contains 20 annual observations of 5 variables:

     _c_o_n_s_u_m_p food consumption per capita.

     _p_r_i_c_e ratio of food prices to general consumer prices.

     _i_n_c_o_m_e disposable income in constant dollars.

     _f_a_r_m_P_r_i_c_e ratio of preceding year's prices received by farmers to
          general consumer prices.

     _t_r_e_n_d time trend in years.

_D_e_t_a_i_l_s:

     The exogenous variables 'income', 'farmPrice', and 'trend' are
     based on real data; the endogenous variables 'price' and 'consump'
     were generated by simulation.

_S_o_u_r_c_e:

     Kmenta (1986), Table 13-1, p. 687.

_R_e_f_e_r_e_n_c_e_s:

     Kmenta, J. (1986). _Elements of Econometrics_, Second Edition,
     Macmillan, New York.

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

     ## Replicating the estimations in Kmenta (1986), p. 712, Tab 13-2
     data( "Kmenta" )
     eqDemand <- consump ~ price + income
     eqSupply <- consump ~ price + farmPrice + trend
     inst <- ~ income + farmPrice + trend
     system <- list( demand = eqDemand, supply = eqSupply )

     ## OLS estimation
     fitOls <- systemfit( "OLS", system, data = Kmenta )
     summary( fitOls )

     ## 2SLS estimation
     fit2sls <- systemfit( "2SLS", system, inst = inst, data = Kmenta )
     summary( fit2sls )

     ## 3SLS estimation
     fit3sls <- systemfit( "3SLS", system, inst = inst, data = Kmenta )
     summary( fit3sls )

     ## I3LS estimation
     fitI3sls <- systemfit( "3SLS", system, inst = inst, data = Kmenta,
        maxit = 250 )
     summary( fitI3sls )

