[R] About systemfit package
Dear friends, I have written the following lines in R console wich already exist in pdf file systemfit: data( GrunfeldGreene ) library( plm ) GGPanel - plm.data( GrunfeldGreene, c( firm, year ) ) greeneSur - systemfit( invest ~ value + capital, method = SUR, + data = GGPanel ) greenSur I have obtained the following incomplete results in wich standard errors of the estimates and their student statistics didn't appear: systemfit results method: SUR Coefficients: Chrysler_(Intercept) Chrysler_value Chrysler_capital General.Electric_(Intercept) 0.5043036 0.06954560.3085445 -22.4389132 General.Electric_value General.Electric_capital General.Motors_(Intercept) General.Motors_value 0.03729140.1307830 -162.36410520.1204930 General.Motors_capital US.Steel_(Intercept) US.Steel_value US.Steel_capital 0.3827462 85.42325480.10147820.314 Westinghouse_(Intercept) Westinghouse_value Westinghouse_capital 1.0888770 0.05700910.0415065 but when I wrote the following lines: summary(greeneSur) I obtained the following results: systemfit results method: SUR N DFSSR detRCov OLS-R2 McElroy-R2 system 100 85 347048 1.39234e+14 0.844042 0.868682 N DF SSR MSE RMSE R2 Adj R2 Chrysler 20 17 3056.98 179.823 13.4098 0.911862 0.901493 General.Electric 20 17 14009.12 824.066 28.7065 0.687636 0.650887 General.Motors 20 17 144320.88 8489.463 92.1383 0.920742 0.911417 US.Steel 20 17 183763.01 10809.589 103.9692 0.421959 0.353954 Westinghouse 20 17 1898.25 111.662 10.5670 0.726429 0.694244 The covariance matrix of the residuals used for estimation Chrysler General.Electric General.Motors US.Steel Westinghouse Chrysler 176.3203 -25.1478 -332.655 491.857 15.6552 General.Electric -25.1478 777.4463714.745 1064.649 207.5871 General.Motors -332.6546 714.7449 8423.875 -2614.188 148.4426 US.Steel 491.85721064.6491 -2614.188 10466.371 642.5712 Westinghouse 15.6552 207.5871148.443 642.571 104.3079 The covariance matrix of the residuals Chrysler General.Electric General.Motors US.Steel Westinghouse Chrysler 179.82262 2.40867 -369.063 535.399 19.6007 General.Electric2.40867824.06559712.161 1440.477 235.6662 General.Motors -369.06303712.16059 8489.463 -3160.609 152.8077 US.Steel 535.39937 1440.47700 -3160.609 10809.589 767.9016 Westinghouse 19.60073235.66620152.808 767.902 111.6617 The correlations of the residuals Chrysler General.Electric General.Motors US.Steel Westinghouse Chrysler 1. 0.00625711 -0.298702 0.384018 0.138324 General.Electric 0.00625711 1. 0.269251 0.482637 0.776898 General.Motors -0.29870209 0.26925075 1.00 -0.329933 0.156947 US.Steel 0.38401758 0.48263726 -0.329933 1.00 0.698954 Westinghouse 0.13832413 0.77689848 0.156947 0.698954 1.00 SUR estimates for 'Chrysler' (equation 1) Model Formula: Chrysler_invest ~ Chrysler_value + Chrysler_capital environment: 0x03ae6cbc Estimate Std. Error t value Pr(|t|) (Intercept) 0.5043036 12.4874164 0.04038 0.968257 value0.0695456 0.0183279 3.79452 0.001448 ** capital 0.3085445 0.0280530 10.99864 3.7702e-09 *** --- Signif. codes: 0 *** 0.001 ** 0.01 * 0.05 . 0.1 1 Residual standard error: 13.409796 on 17 degrees of freedom Number of observations: 20 Degrees of Freedom: 17 SSR: 3056.984521 MSE: 179.822619 Root MSE: 13.409796 Multiple R-Squared: 0.911862 Adjusted R-Squared: 0.901493 SUR estimates for 'General.Electric' (equation 2) Model Formula: General.Electric_invest ~ General.Electric_value + General.Electric_capital environment: 0x03ae6cbc Estimate Std. Error t value Pr(|t|) (Intercept) -22.4389132 27.6787930 -0.81069 0.428748 value 0.0372914 0.0133012 2.80360 0.012212 * capital 0.1307830 0.0239163 5.46836 4.1636e-05 *** --- Signif. codes: 0 *** 0.001 ** 0.01 * 0.05 . 0.1 1 Residual standard error: 28.706543 on 17 degrees of freedom Number of observations: 20 Degrees of Freedom: 17 SSR: 14009.115084 MSE: 824.065593 Root MSE: 28.706543 Multiple R-Squared: 0.687636 Adjusted R-Squared: 0.650887 SUR estimates for 'General.Motors' (equation 3) Model Formula: General.Motors_invest ~ General.Motors_value + General.Motors_capital environment: 0x03ae6cbc Estimate Std. Error t value Pr(|t|)
[R] about systemfit package
Dear friends, I have written the following lines in R console wich already exist in pdf file systemfit: data( GrunfeldGreene ) library( plm ) GGPanel - plm.data( GrunfeldGreene, c( firm, year ) ) greeneSur - systemfit( invest ~ value + capital, method = SUR, + data = GGPanel ) greenSur I have obtained the following incomplete results in wich standard errors of the estimates and their student statistics didn't appear: systemfit results method: SUR Coefficients: Chrysler_(Intercept) Chrysler_value Chrysler_capital General.Electric_(Intercept) 0.5043036 0.06954560.3085445 -22.4389132 General.Electric_value General.Electric_capital General.Motors_(Intercept) General.Motors_value 0.03729140.1307830 -162.36410520.1204930 General.Motors_capital US.Steel_(Intercept) US.Steel_value US.Steel_capital 0.3827462 85.42325480.10147820.314 Westinghouse_(Intercept) Westinghouse_value Westinghouse_capital 1.0888770 0.05700910.0415065 but when I wrote the following lines: summary(greeneSur) I obtained the following results: systemfit results method: SUR N DFSSR detRCov OLS-R2 McElroy-R2 system 100 85 347048 1.39234e+14 0.844042 0.868682 N DF SSR MSE RMSE R2 Adj R2 Chrysler 20 17 3056.98 179.823 13.4098 0.911862 0.901493 General.Electric 20 17 14009.12 824.066 28.7065 0.687636 0.650887 General.Motors 20 17 144320.88 8489.463 92.1383 0.920742 0.911417 US.Steel 20 17 183763.01 10809.589 103.9692 0.421959 0.353954 Westinghouse 20 17 1898.25 111.662 10.5670 0.726429 0.694244 The covariance matrix of the residuals used for estimation Chrysler General.Electric General.Motors US.Steel Westinghouse Chrysler 176.3203 -25.1478 -332.655 491.857 15.6552 General.Electric -25.1478 777.4463714.745 1064.649 207.5871 General.Motors -332.6546 714.7449 8423.875 -2614.188 148.4426 US.Steel 491.85721064.6491 -2614.188 10466.371 642.5712 Westinghouse 15.6552 207.5871148.443 642.571 104.3079 The covariance matrix of the residuals Chrysler General.Electric General.Motors US.Steel Westinghouse Chrysler 179.82262 2.40867 -369.063 535.399 19.6007 General.Electric2.40867824.06559712.161 1440.477 235.6662 General.Motors -369.06303712.16059 8489.463 -3160.609 152.8077 US.Steel 535.39937 1440.47700 -3160.609 10809.589 767.9016 Westinghouse 19.60073235.66620152.808 767.902 111.6617 The correlations of the residuals Chrysler General.Electric General.Motors US.Steel Westinghouse Chrysler 1. 0.00625711 -0.298702 0.384018 0.138324 General.Electric 0.00625711 1. 0.269251 0.482637 0.776898 General.Motors -0.29870209 0.26925075 1.00 -0.329933 0.156947 US.Steel 0.38401758 0.48263726 -0.329933 1.00 0.698954 Westinghouse 0.13832413 0.77689848 0.156947 0.698954 1.00 SUR estimates for 'Chrysler' (equation 1) Model Formula: Chrysler_invest ~ Chrysler_value + Chrysler_capital environment: 0x03ae6cbc Estimate Std. Error t value Pr(|t|) (Intercept) 0.5043036 12.4874164 0.04038 0.968257 value0.0695456 0.0183279 3.79452 0.001448 ** capital 0.3085445 0.0280530 10.99864 3.7702e-09 *** --- Signif. codes: 0 *** 0.001 ** 0.01 * 0.05 . 0.1 1 Residual standard error: 13.409796 on 17 degrees of freedom Number of observations: 20 Degrees of Freedom: 17 SSR: 3056.984521 MSE: 179.822619 Root MSE: 13.409796 Multiple R-Squared: 0.911862 Adjusted R-Squared: 0.901493 SUR estimates for 'General.Electric' (equation 2) Model Formula: General.Electric_invest ~ General.Electric_value + General.Electric_capital environment: 0x03ae6cbc Estimate Std. Error t value Pr(|t|) (Intercept) -22.4389132 27.6787930 -0.81069 0.428748 value 0.0372914 0.0133012 2.80360 0.012212 * capital 0.1307830 0.0239163 5.46836 4.1636e-05 *** --- Signif. codes: 0 *** 0.001 ** 0.01 * 0.05 . 0.1 1 Residual standard error: 28.706543 on 17 degrees of freedom Number of observations: 20 Degrees of Freedom: 17 SSR: 14009.115084 MSE: 824.065593 Root MSE: 28.706543 Multiple R-Squared: 0.687636 Adjusted R-Squared: 0.650887 SUR estimates for 'General.Motors' (equation 3) Model Formula: General.Motors_invest ~ General.Motors_value + General.Motors_capital environment: 0x03ae6cbc Estimate Std. Error t value Pr(|t|)
