I am an R beginner and trying to run a SUR model in R framework.
subset(esasp500, Obs <=449 & Obs>=197, select = -Date) ->ev13sub
c(Obs>=397) & c(Obs<=399) ->d13
c(Obs>=400) & c(Obs<=449) ->f13
SP500*f13 ->SP500f13
BBC~SP500+d13+SP500f13 ->sur132
BOW~SP500+d13+SP500f13 ->sur133
CSK~SP500+d13+SP500f13 ->sur134
DTC~SP500+d13+SP500f13 ->sur135
GP~SP500+d13+SP500f13 ->sur136
HAN~SP500+d13+SP500f13 ->sur137
IP~SP500+d13+SP500f13 ->sur138
KMB~SP500+d13+SP500f13 ->sur139
LPX~SP500+d13+SP500f13 ->sur1310
MWV~SP500+d13+SP500f13 ->sur1311
PCH~SP500+d13+SP500f13 ->sur1312
PCL~SP500+d13+SP500f13 ->sur1313
PNR~SP500+d13+SP500f13 ->sur1314
POP~SP500+d13+SP500f13 ->sur1315
SON~SP500+d13+SP500f13 ->sur1316
TIN~SP500+d13+SP500f13 ->sur1317
W~SP500+d13+SP500f13 ->sur1318
WPP~SP500+d13+SP500f13 ->sur1319
WY~SP500+d13+SP500f13 ->sur1320
system13 <- list(sur132, sur133, sur134, sur135, sur136, sur137, sur138,
sur139, sur1310, sur1311, sur1312, sur1313, sur1314, sur1315, sur1316,
sur1317, sur1318,sur1319,sur1320)
labels13 <-
ist("sur132","sur133","sur134","sur135","sur136","sur137","sur138","sur1
39","sur1310","sur1311","sur1312","sur1313","sur1314","sur1315","sur1316
","sur1317","sur1318","sur1319","sur1320")
res13 <- systemfit("SUR", system13,labels13, data=ev13sub)
summary(res13)
But the results show Error: could not find function "systemfit".
So, how to write a R code to implement the formula and get right
results.
Thanks,
Bill
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