systemfit (version 0.8-5)

KleinI: Klein Model I

Description

Data for Klein's (1950) Model I of the US economy.

Usage

data("KleinI")

source

Greene (2003), Appendix F, Data Sets Used in Applications, Table F15.1.

http://pages.stern.nyu.edu/~wgreene/Text/econometricanalysis.htm

References

Greene, W.H. (2003). Econometric Analysis, 5th edition. Prentice Hall, Upper Saddle River (NJ).

Klein, L. (1950). Economic Fluctuations in the United States, 1921--1941. John Wiley, New York.

Examples

## 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 ~ corpProf + corpProfLag + capitalLag
eqPrivWage <- privWage ~ gnp + gnpLag + trend
inst <- ~ govExp + taxes + govWage + trend + capitalLag + corpProfLag + gnpLag
system <- list( Consumption = eqConsump, Investment = eqInvest,
   "Private Wages" = eqPrivWage )
# OLS
kleinOls <- systemfit( "OLS", system, data = KleinI )
summary( kleinOls )
# 2SLS
klein2sls <- systemfit( "2SLS", system, inst = inst, data = KleinI,
   rcovformula = 0 )
summary( klein2sls )
# 3SLS
klein3sls <- systemfit( "3SLS", system, inst = inst, data = KleinI,
   rcovformula = 0 )
summary( klein3sls )
# I3SLS
kleinI3sls <- systemfit( "3SLS", system, inst = inst, data = KleinI,
   rcovformula = 0, maxit = 500 )
summary( kleinI3sls )