Dear Mikko, You might try the tsls function in the sem package (which also does 2SLS).
Regards, John -------------------------------- John Fox Department of Sociology McMaster University Hamilton, Ontario Canada L8S 4M4 905-525-9140x23604 http://socserv.mcmaster.ca/jfox -------------------------------- > -----Original Message----- > From: [EMAIL PROTECTED] > [mailto:[EMAIL PROTECTED] On Behalf Of Mikko Pakkanen > Sent: Wednesday, May 25, 2005 4:43 AM > To: [email protected] > Subject: [R] Problem with systemfit 0.7-3 and transformed variables > > 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. > > > 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 > > ______________________________________________ > [email protected] mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide! > http://www.R-project.org/posting-guide.html ______________________________________________ [email protected] mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
