systemfit (version 0.8-5)

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")

source

Kmenta (1986), Table 13-1, p. 687.

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( "OLS", system, data = Kmenta )
summary( fitOls )

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

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

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