confint.systemfit {systemfit} | R Documentation |
Confidence intervals of coefficients
Description
These functions calculate the confidence intervals of the
coefficients from an object returned by systemfit
.
Usage
## S3 method for class 'systemfit'
confint( object, parm = NULL, level = 0.95,
useDfSys = NULL, ... )
## S3 method for class 'systemfit.equation'
confint( object, parm, level = 0.95,
useDfSys = NULL, ... )
Arguments
object |
an object of class |
parm |
not used yet. |
level |
confidence level. |
useDfSys |
logical. Use the degrees of freedom of the whole system
(in place of the degrees of freedom of the single equation)
to calculate the confidence intervals of the coefficients.
If it not specified ( |
... |
other arguments. |
Value
An object of class confint.systemfit
, which is a matrix
with columns giving lower and upper confidence limits
for each estimated coefficient. These will be labelled as
(1-level)/2 and 1 - (1-level)/2 in % (by default 2.5% and 97.5%).
Author(s)
Arne Henningsen arne.henningsen@googlemail.com
See Also
systemfit
,
print.confint.systemfit
, confint
Examples
data( "Kmenta" )
eqDemand <- consump ~ price + income
eqSupply <- consump ~ price + farmPrice + trend
system <- list( demand = eqDemand, supply = eqSupply )
## perform OLS on each of the equations in the system
fitols <- systemfit( system, data = Kmenta )
## confidence intervals of all coefficients
confint( fitols )
## confidence intervals of the coefficients of the first equation
confint( fitols$eq[[1]] )
## confidence intervals of the coefficients of the second equation
confint( fitols$eq[[2]] )