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Questions tagged [systemfit]

23 questions
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Seemingly Unrelated Regression error using Systemfit in R

I would like to use seemingly unrelated regressions to estimate a single equation repeatedly over cross-sections, but always receive the error "Error in LU.dgC(a) : cs_lu(A) failed: near-singular A (or out of memory)". The reason is my data/setting,…
research111
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Non Linear Seemingly Unrelated Regressions (SUR) in R imposing restrictions

I'm trying to estimate a non-linear Seemingly Unrelated Regressions (SUR) model with 5 equations in R, and I was working over the package systemfit. Everything goes well until it needs to set some restrictions on my equations. using the package…
Ariel
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R SUR regression with systemfit gets error "LU computationally singular: ratio of extreme..." can work around but still concerned about error margins

Before I get into the problem, I want to acknowledge that I have seen that there is a previous question that has been answered, and it gave me an idea for a work around for getting the regressions together for presentation, but I am still somewhat…
Andrew A
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R SUR regressions

I am doing an event study in R. I want to use a SUR model, as the event windows are overlapping. Here is some code with which you can create the data I use and what I have done so far: #data library("systemfit") library("plm") nederland<-…
Dave13
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1 answer

R SUR regression using systemfit resulting in error: LU computationally singular: ratio of extreme entries

I am running a SUR regression using the systemfit package in R. The dataset contains returns for 80 banks which are regressed on dummy variables which are equal to 1 at certain dates and 0 otherwise. When running this, I always obtain the same…
Dave13
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Explicit use of identity equations in simultaneous equation models

In the Klein I model example from the systemfit package, ## Repeating the estimations of Klein's (1950) Model I ## in Greene (2003, pp. 381 and 412) data( "KleinI" ) eqConsump <- consump ~ corpProf + corpProfLag + wages eqInvest <- invest ~…
Tomas
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R: Parsing language object to get Formula

I am trying to parse a selection object (returned by the selection function in the sampleSelection package), so that it becomes fit for the construction of a Formula object (from the Formula package). A concrete example of what I want is given…
tchakravarty
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Time complexity of nlm-package in R?

I'm estimating a Non-Linear system (via seemingly unrelated regressions - SUR), using systemfit (nlsystemfit() function) package with 4 equations, 32 parameters to estimate (!) and 412 observations. But my code is taking forever (my laptop it's not…
Ariel
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SUR: Var-Cov matrix becomes singular if maxiter>1

Could you help me with following: I try to run 5eq simultaneously but I have problems with singularity. My coefficients become very small if maxiter>1. If maxiter>4, R returns the error code “Error in .solve.dgC.lu(as(a, "dgCMatrix"), b = b, tol…
jones
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Chamberlain and Angrist Newey test for fixed effect panel data

I'm trying to reproduce the estimations of table 7.1 in Baltagi (2013) Econometric Analysis of Panel Data (5th edition), page 133. Also, I would to reproduce the Chamberlain (1982) or its Angrist-Newey (1991) equivalence test of the working paper of…
JosePerles
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R: Columnwise loop over string variables

my first R question that has not been discussed in any forum yet, apparently...Consider my fake dataset: A<-matrix(c(1,2,3,4,5,2,3,4,5,6,3,4,5,6,7),5,3) a<-c(2,4,6,8,9) I want to regress each column of A on a and perform systemfit to test some…
Stewen
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How can I apply constraints to coefficients in SUR regression with systemfit package in R

I am trying to fit a SUR model with systemfit package, and I want to make sure some of the coefficients in equation 1 and 2 to be equal. example: f1 <- y ~ x1 + x2 f2 <- y ~ x3 + x4 system <- list(eq1 = f1 , eq2 = f2) model <- systemfit(system,…
Buoyant Xu
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How to perform autocorrelation, heteroscedasticity and multicollinearity tests using the package ‘systemfit’ in R?

I'm estimating a system of equations with Seemingly Unrelated Regression (SUR) of the ‘systemfit’ package, but in the documentation I have not found how to perform the autocorrelation, heteroscedasticity and multicollinearity tests (Variance…
Luisadieze
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How to conduct joint significance test in seemingly unrelated regression

I'm trying to conduct a joint test of significance in a seemingly unrelated regression setup with robust standard errors. I have three outcomes Y1, Y2, and Y3 and I want to conduct a joint hypothesis test against the null that the average effect of…
Alex Coppock
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How to estimate an SUR model in R with factors to be projected out and clustered standard errors?

I want to estimate an SUR (Seemingly Unrelated Regressions) model. I tried using systemfit and its wrapper Zelig. But I am not able to understand how to specify factors to be projected out (i.e., add fixed effects) and cluster the standard errors,…
Anisha Garg
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