[R] Changing sequential regression code to call systemfit

Leeds, Mark (IED) Mark.Leeds at morganstanley.com
Wed May 23 23:05:56 CEST 2007

I use code ( actually its code from vars package and its directly below
) to do a sequence of lm calls and the data I use from the matrix 
depends on restrictions. 

 for(i in 1:K){

      datares <- datasub[, which(x$restrictions[i, ] == 1),drop=FALSE]
      y <- yendog[, i]
      lmres <- lm(y ~ -1 + ., data=datares)

#      x$varresult[[i]] <- lmres
#      x$resid[, i] <- resid(x$varresult[[i]])


I would like to modify the code to make one call to systemfit because I
really should be using SUR rather than a sequence of lms.

But, systemfit needs the following type of setup.


eqDemand <- consump ~ -1 + price + income
eqSupply <-  consump ~ -1 + price + farmPrice + trend
system<-list( demand = eqDemand, supply = eqSupply)


Then, the call to systemfit is 

fitsur<- systemfit( "SUR", system)

Does anyone know how to change the code in the for loop ( I can deal
with the two lines with x$ ) to mimic the 3 lines between
The xxxxxxxxxxxxxxxxxxxx lines ?

I'm not good enough in R to do this but my guess is that it is possible
because datares and y both have column names. Thanks.

This is not an offer (or solicitation of an offer) to buy/se...{{dropped}}

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