systemfit (version 1.1-30)

se.ratio.systemfit: Ratio of the Standard Errors

Description

se.ratio.systemfit returns a vector of the ratios of the standard errors of the predictions for two equations.

Usage

se.ratio.systemfit( resultsi, resultsj, eqni )

Value

se.ratio returns a vector of the standard errors of the ratios for the predictions between the predicted values in equation i and equation j.

Arguments

resultsi

an object of type systemfit.

resultsj

an object of type systemfit.

eqni

index for equation to obtain the ratio of standard errors.

Author

Jeff D. Hamann

References

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

See Also

systemfit and correlation.systemfit

Examples

data( "Kmenta" )
eqDemand <- consump ~ price + income
eqSupply <- consump ~ price + farmPrice + trend
inst <- ~ income + farmPrice + trend
system <- list( demand = eqDemand, supply = eqSupply )

## perform 2SLS on each of the equations in the system
fit2sls <- systemfit( system, "2SLS", inst = inst, data = Kmenta )
fit3sls <- systemfit( system, "3SLS", inst = inst, data = Kmenta )

## print the results from the fits
print( fit2sls )
print( fit3sls )
print( "covariance of residuals used for estimation (from 2sls)" )
print( fit3sls$residCovEst )
print( "covariance of residuals" )
print( fit3sls$residCov )

## examine the improvement of 3SLS over 2SLS by computing
## the ratio of the standard errors of the estimates
improve.ratio <- se.ratio.systemfit( fit2sls, fit3sls, 2 )
print( "summary values for the ratio in the std. err. for the predictions" )
print( summary( improve.ratio ) )