systemfit (version 1.1-30)

Kmenta: Partly Artificial Data on the U. S. Economy

Description

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

Usage

data("Kmenta")

Format

This data frame contains 20 annual observations of 5 variables:

consump

food consumption per capita.

price

ratio of food prices to general consumer prices.

income

disposable income in constant dollars.

farmPrice

ratio of preceding year's prices received by farmers to general consumer prices.

trend

time trend in years.

Details

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

References

Kmenta, J. (1986). Elements of Econometrics, Second Edition, Macmillan, New York.

Examples

## 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( system, data = Kmenta )
summary( fitOls )

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

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

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