lrtest.systemfit {systemfit} | R Documentation |
Perform a Likelihood Ratio test to test linear restrictions when estimating an equation system.
lrtest.systemfit( resultc, resultu )
resultc |
an object of type systemfit that
contains the results of the restricted estimation. |
resultu |
an object of type systemfit that
contains the results of the unconstrained estimation. |
At the moment only the LR test for SUR models is implemented.
This test calculates the likelihood ratio value by calculating the estimated residual covariance matrix hat{Σ} by the maximum likelihood formula hat{σ}_{ij} = (hat{e}_i' hat{e}_j) / T (no matter which formula is used in the estimation).
lrtest.sur.systemfit
returns a three values:
lr |
the empirical likelihood ratio value. |
p |
the p-value of a chi^2-test. |
df |
the degrees of freedom of the test (= number of restrictions). |
Arne Henningsen ahenningsen@agric-econ.uni-kiel.de
Greene, W. H. (2002) Econometric Analysis, Fifth Edition, Prentice Hall.
## Not run: library( systemfit ) data( kmenta ) demand <- q ~ p + d supply <- q ~ p + f + a labels <- list( "demand", "supply" ) system <- list( demand, supply ) ## unconstrained SUR estimation fitsur <- systemfit("SUR", system, labels, data=kmenta ) print( fitsur ) ## SUR estimation with 2 restrictions Rrestr <- matrix(0,2,7) qrestr <- matrix(0,2,1) Rrestr[1,3] <- 1 Rrestr[1,7] <- -1 Rrestr[2,2] <- -1 Rrestr[2,5] <- 1 qrestr[2,1] <- 0.5 fitsur2 <- systemfit("SUR", system, labels, data=kmenta, R.restr=Rrestr, q.restr=qrestr ) print( fitsur2 ) ## perform LR-test lrtest.systemfit( fitsur2, fitsur )