System/SUR equations and panel
Hi Alok
On 3 October 2012 17:28, Alok K Bohara, PhD <bohara at unm.edu> wrote:
I was wondering if there is any R package to estimate a two-or three equation system in a panel setting. Say, I have 100 firms and their expenditure on wind generated power and solar-generated power. S_i = X1_i*b1 + u1_i W_i = X2_i* b2 + u2_i (X1 and X2 need not be the same.. but for simplicity, they could be assumed to be similar) Now, I have this firm data set for 10 years... I looked at systemfit package and its "investment" example and the way it uses plm package was not quite clear. Any help will be much appreciated.
Unfortunately, systemfit cannot (yet) apply panel data techniques (e.g. random effects or fixed effects) to estimate a system of equations. However, you can manually estimate a fixed effects model if you add dummy variables for individuals and/or time periods or estimate the model with "within transformed" data. Best wishes, Arne
Arne Henningsen http://www.arne-henningsen.name