ftest.systemfit {systemfit}R Documentation

F-test for Equation Systems

Description

F-test for linear parameter restrictions in equation systems.

Usage

   ftest.systemfit( object, R.restr,
      q.restr = rep( 0, nrow( R.restr ) ) )

   ## S3 method for class 'ftest.systemfit':
   print( x, digits = 4, ... )

Arguments

object an object of type systemfit.
R.restr j x k matrix to impose linear restrictions on the parameters by R.restr * b = q.restr (j = number of restrictions, k = number of all parameters, b = vector of all parameters).
q.restr an optional vector with j elements to impose linear restrictions (see R.restr); default is a vector that contains only zeros.
x an object of class ftest.systemfit.
digits number of digits to print.
... currently not used.

Details

The F-statistic for sytems of equations is

F = frac{ ( R hat{b} - q )' ( R ( X' ( hat{Σ} otimes I )^{-1} X )^{-1} R' )^{-1} ( R hat{b} - q ) / j }{ hat{e}' ( Σ otimes I )^{-1} hat{e} / ( M cdot T - K ) }

where j is the number of restrictions, M is the number of equations, T is the number of observations per equation, K is the total number of estimated coefficients, and Σ is the residual covariance matrix used in the estimation. Under the null hypothesis, F has an F-distribution with j and M cdot T - K degrees of freedom (Theil, 1971, p. 314).

Value

ftest.systemfit returns a list of class ftest.systemfit that includes following objects:

statistic the empirical F statistic.
p.value the p-value of the F-test.
nRestr number of restrictions (j, degrees of freedom of the numerator).
dfSys degrees of freedom of the equation system (M cdot T - K, degrees of freedom of the denominator).

Author(s)

Arne Henningsen ahenningsen@agric-econ.uni-kiel.de

References

Theil, Henri (1971). Principles of Econometrics, John Wiley & Sons, New York.

See Also

systemfit, waldtest.systemfit, lrtest.systemfit

Examples

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

## unconstrained SUR estimation
fitsur <- systemfit( "SUR", system, data=Kmenta )

# create restriction matrix to test whether \eqn{beta_2 = \beta_6}
R1 <- matrix( 0, nrow = 1, ncol = 7 )
R1[ 1, 2 ] <- 1
R1[ 1, 6 ] <- -1

## perform F-test
fTest1 <- ftest.systemfit( fitsur, R1 )
print( fTest1 )   # rejected

# create restriction matrix to test whether \eqn{beta_2 = - \beta_6}
R2 <- matrix( 0, nrow = 1, ncol = 7 )
R2[ 1, 2 ] <- 1
R2[ 1, 6 ] <- 1

## perform F-test
fTest2 <- ftest.systemfit( fitsur, R2 )
print( fTest2 )   # accepted

[Package systemfit version 0.8-0 Index]