erer (version 4.0)

aiDynFit: Fitting a Dynamic AIDS Model

Description

Estimate a dynamic AIDS model for a system.

Usage

aiDynFit(w, dum.dif = FALSE, AR1 = FALSE,
  rho.sel = c("all", "mean"), ...)

Value

Return a list object of class "aiFit" and "aiDynFit" with the following components:

w

a object of class aiStaFit.

y

data for fitting the static AIDS model, passed down by w.

dum.dif

a logical value (default of FALSE) of whether to take a difference on the dummy variables passed from w.

daDyn

data for fitting the dynamic AIDS model.

share

names of shares by commodity, used as depedent variables.

price

names of prices by commodity, used as independent variables.

expen

names of expenditure variable.

shift

names of the shifters.

omit

names of the omitted share variable.

nOmit

position of the omitted share variable in the name of share variable.

hom

a logical value of homogeneity test.

sym

a logical value of symmetry test.

nShare

number of share variables.

nExoge

number of exogenous variables (lagged share, residual, expenditure, and shifters).

nParam

number of parameters in one equation.

nTotal

number of parameters in the whole system estimated.

formula

formula for estimating the system.

res.matrix

restriction matrix for hom or sym, or both.

res.rhs

right-hand values for tests of hom or sym, or both.

est

the dynamic AIDS model estimated.

Arguments

w

a object of class aiStaFit.

dum.dif

a logical value (default of FALSE) of whether to take a difference on the dummy variables passed from w.

AR1

whether first-degree autocorrelation should be corrected.

rho.sel

if AR1 = TRUE, there are two ways of computing the autocorrelation coefficient.

...

additional arguments to be passed.

Methods

One method is defined as follows:

print:

print the first several observations of the final data.

Author

Changyou Sun ()

Details

This estimates a dynamic AIDS model. The residuals from the statis AIDS model are included. As it is programmed now, only one lag is allowed for the share variables on the right-hand side. Autocorrelation in the residuals can be corrected following the treatment in Berndt (1975).

References

Berndt, E.R., and N.E. Savin. 1975. Estimation and hypothesis testing in singular equation systems with autoregressive disturbances. Econometrica 43(5/6):937-957.

Wan, Y., C. Sun, and D.L. Grebner. 2010. Analysis of import demand for wooden beds in the United States. Journal of Agricultural and Applied Economics 42(4):643-658.

See Also

systemfitAR; aiStaFit; aiDiag; aiElas; summary.aiFit.

Examples

# --- Step 1: Read data
data(daExp, daBedRaw, daBed)

# --- Step 2: Hausman Test 
# 2.1 Getting started with a static AIDS model 
sh  <- c("sCN", "sVN", "sID", "sMY", "sCA", "sBR", "sIT", "sRW")
pr  <- c("lnpCN", "lnpVN", "lnpID", "lnpMY",  
         "lnpCA", "lnpBR", "lnpIT", "lnpRW")
du3 <- c("dum1","dum2","dum3")
rSta <- aiStaFit(y = daBed, share = sh, price = pr, shift = du3, 
  expen = "rte", omit = "sRW", hom = TRUE, sym = TRUE)
summary(rSta)

# The following steps should work. It can take a few minutes.
# \donttest{
# 2.2 The final Hausman test and new data
(dg <- daExp[, "dg"])
rHau <- aiStaHau(x = rSta, instr = dg, choice = FALSE)
names(rHau); colnames(rHau$daHau); colnames(rHau$daFit); rHau
two.exp <- rHau$daFit[, c("rte", "rte.fit")] 
bsStat(two.exp, digits = 4)
plot(data.frame(two.exp)); abline(a = 0, b = 1)
daBedFit <- rHau$daFit

# --- Step 3: Static and dynamic AIDS models 
# 3.1 Diagnostics and coefficients
hSta  <- update(rSta, y = daBedFit, expen = "rte.fit")
hSta2 <- update(hSta, hom = FALSE, sym = FALSE) 
hSta3 <- update(hSta, hom = FALSE, sym = TRUE)
hSta4 <- update(hSta, hom = TRUE,  sym = FALSE)
lrtest(hSta2$est, hSta$est) 
lrtest(hSta2$est, hSta3$est)
lrtest(hSta2$est, hSta4$est)

hDyn  <- aiDynFit(hSta)
hDyn2 <- aiDynFit(hSta2); lrtest(hDyn2$est, hDyn$est)
hDyn3 <- aiDynFit(hSta3); lrtest(hDyn2$est, hDyn3$est)
hDyn4 <- aiDynFit(hSta4); lrtest(hDyn2$est, hDyn4$est)

(table.2 <- rbind(aiDiag(hSta), aiDiag(hDyn)))
(table.3 <- summary(hSta))
(table.4 <- summary(hDyn))
                          
# 3.2 Elasticity calculation
es <- aiElas(hSta); esm <- es$marsh
ed <- aiElas(hDyn); edm <- ed$marsh
esm2 <- data.frame(c(esm[1:2, 2], esm[3:4, 3], 
  esm[5:6, 4], esm[7:8, 5], esm[9:10, 6], esm[11:12, 7], 
  esm[13:14, 8], esm[15:16, 9]))
edm2 <- data.frame(c(edm[1:2, 2], edm[3:4, 3], 
  edm[5:6, 4], edm[7:8, 5], edm[9:10, 6], edm[11:12, 7], 
  edm[13:14, 8], edm[15:16, 9]))
eEM <- cbind(es$expen, esm2, ed$expen[2], edm2) 
colnames(eEM) <- c("Country", "LR.expen", "LR.Marsh", 
  "SR.expen", "SR.Marsh")
(table.5 <- eEM[-c(15:16),])
(table.6a <- es$hicks[-c(15:16), -9])
(table.6b <- ed$hicks[-c(15:16), -9])
# }