aiStaFit function

Fitting a Static AIDS Model

Estimate a static AIDS model for a system.

aiStaFit(y, share, price, expen, shift = NULL, omit = NULL,
  hom = TRUE, sym = TRUE, AR1 = FALSE, rho.sel = c("all", "mean"), ...)

Arguments

• y: a multiple time series data.
• share: names of the share variables.
• price: names of the price variables.
• expen: name of the expenditure variables.
• shift: names of the shifter variables.
• omit: name of the share variable omitted; if not supplied, this is the last one of share.
• hom: a logical value of homogeneity test.
• sym: a logical value of symmetry test.
• AR1: whether first-degree autocorrelation should be corrected.
• rho.sel: if AR1 = TRUE, there are two ways of computing the autocorrelation coefficient.
• ...: additional arguments to be passed.

Details

This estimates a static AIDS model. The data supplied should be in the final format. Autocorrelation in the residuals can be corrected following the treatment in Berndt (1975).

Returns

Return a list object of class "aiFit" and "aiStaFit" with the following components: - y: data for fitting the static AIDS model.

• share: names of the share variables.

• price: names of the price variables.

• expen: name of the expenditure variables.

• shift: names of the shifter variables.

• omit: name of the share variable omitted; if not supplied, this is the last one of share.

• nOmit: position of the omitted share variable in the name of share variable.

• hom: a logical value of homogeneity test.

• sym: a logical value of symmetry test.

• nShare: number of share variables.

• nExoge: number of exogenous variables (lagged share, residual, expenditure, and shifters).

• nParam: number of parameters in one equation.

• nTotal: number of parameters in the whole system estimated.

• formula: formula for estimating the system.

• res.matrix: restriction matrix for hom or sym, or both.

• res.rhs: right-hand values for tests of hom or sym, or both.

• est: the static AIDS model estimated.

• AR1: a logical value whether autocorrelation is corrected.

• call: a record of the system call; this allows update.default to be used.

Methods

One method is defined as follows. This is the print method related to three functions: aiStaFit, aiDynFit, and aiStaHau.

• print:: print the first several observations of selectec outputs.

References

Berndt, E.R., and N.E. Savin. 1975. Estimation and hypothesis testing in singular equation systems with autoregressive disturbances. Econometrica 43(5/6):937-957.

Wan, Y., C. Sun, and D.L. Grebner. 2010. Analysis of import demand for wooden beds in the United States. Journal of Agricultural and Applied Economics 42(4):643-658.

Author(s)

Changyou Sun (edwinsun258@gmail.com )

See Also

aiDiag; aiElas; summary.aiFit; aiDynFit; aiStaHau; systemfitAR.

Examples

# see the examples for 'aiDynFit'.