systemfit (version 0.5-6)

threestage.cov: Variance-Covariance Matrix

Description

This function returns a variance-covariance estimation matrix from a resulting simultaneous estimation object such as type threestage.

Usage

threestage.cov( results, eqni, eqnj )

Arguments

results

a set of 3SLS objects returned from threestage

eqni

the ith equation in the set of threestage objects

eqnj

the jth equation in the set of threestage objects

Value

• threestage.cov returns a submatrix from the variance-covariance matrix from the variance-covariance matrix used for estimation during 3SLS.

References

Hasenauer, H; Monserud, R and T. Gregoire. (1998) Using Simultansous Regression Techniques with Individual-Tree Growth Models. Forest Science. 44(1):87-95

See Also

ols,twostage,surand threestage

Examples

library( systemfit )

data( kmenta )
attach( kmenta )
demand <- q ~ p + d
supply <- q ~ p + f + a
inst <- ~ d + f + a
labels <- list( "demand", "supply" )
system <- list( demand, supply )

## perform the estimation and report the results for the whoel system
fit3sls <- threestage.systemfit( system, inst, labels, kmenta )
print( fit3sls )

## get the variance-covariance matrix used for estimation 
print( "covariance of residuals used for estimation (from 2sls)" )
print( threestage.cov( fit3sls, 1, 2 ) )