Ratio of the Standard Errors
se.ratio.systemfit returns a vector of the ratios of the
standard errors of the predictions for two equations.
se.ratio.systemfit( resultsi, resultsj, eqni )
resultsi |
an object of type |
resultsj |
an object of type |
eqni |
index for equation to obtain the ratio of standard errors. |
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.
Jeff D. Hamann jeff.hamann@forestinformatics.com
Hasenauer, H; Monserud, R and T. Gregoire. (1998) Using Simultaneous Regression Techniques with Individual-Tree Growth Models. Forest Science. 44(1):87-95
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 ) )
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