[R] Problem with systemfit 0.7-3 and transformed variables

[Arne Henningsen]

On Wednesday 25 May 2005 11:43, Mikko Pakkanen wrote:
> The 'systemfit' function in systemfit 0.7-3 CRAN package seems to have a
> problem with formulas that contain transformed (eg. log) variables. If I
> have my data in a data frame, apparently systemfit doesn't "pass" the
> information of where the variables should be taken to the transforming
> function.
>
> I'm not entirely sure if this is a bug or just a limitation, I was just
> surprised when I attempted to estimate a model, which I'd previously
> estimated with OLS using 'lm', with 2SLS using 'systemfit' and it didn't
> accept those transformations like 'lm' does.
>
> Here's an example: this is, of course, OK:
> > data(kmenta)
> > demand <- q ~ p + d
> > instr <- ~ d + f
> > fit1 <- systemfit("2SLS", eqns=list(demand), inst=instr, data=kmenta)
>
> But, now if I'd like to estimate a model with logarithm of p as a
> regressor,
>
> an error occurs:
> > demand2 <- q ~ log(p) + d
> > fit2 <- systemfit("2SLS", eqns=list(demand2), inst=instr, data=kmenta)
>
> Error in log(p) : Object "p" not found
>
> However, estimating the same formula with OLS using the regular 'lm' is OK:
> > fit2.ols <- lm(demand2, kmenta)
>
> Transforming an instrument causes the same error too:
> > instr2 <- ~ log(d) + f
> > fit3 <- systemfit("2SLS", eqns=list(demand), inst=instr2, data=kmenta)
>
> Error in log(d) : Object "d" not found
>
> One could certainly just create those transformed variables to avoid the
> problem, but it would be much more convenient, if it wasn't necessary,
> especially if several regressors are involved.

We did not notice this shortcoming of systemfit() so far. Unfortunately, I 
don't have the time in the next few days to look into the code and figure out 
how to enable transformed variables. I suggest that you either create 
transformed variables by hand or you modify the systemfit code to enable this 
and send us the patch. I prefer the second :-) (that's the philosophy of 
open-source software like R: useRs become developeRs).

Best wishes,
Arne

> > version
>
>          _
> platform i386-pc-mingw32
> arch     i386
> os       mingw32
> system   i386, mingw32
> status
> major    2
> minor    1.0
> year     2005
> month    04
> day      18
> language R
>
> Regards,
>
> -Mikko Pakkanen
>
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-- 
Arne Henningsen
Department of Agricultural Economics
University of Kiel
Olshausenstr. 40
D-24098 Kiel (Germany)
Tel: +49-431-880 4445
Fax: +49-431-880 1397
ahenningsen at agric-econ.uni-kiel.de
http://www.uni-kiel.de/agrarpol/ahenningsen/