[R] System of related regression equations

[Viechtbauer Wolfgang (STAT)]

What you are describing is a path model (e.g., http://bit.ly/f4siTs). You can fit such a model with the sem package (http://cran.r-project.org/web/packages/sem/index.html).

Best,

-- 
Wolfgang Viechtbauer
Department of Psychiatry and Neuropsychology
School for Mental Health and Neuroscience
Maastricht University, P.O. Box 616
6200 MD Maastricht, The Netherlands
Tel: +31 (43) 368-5248
Fax: +31 (43) 368-8689
Web: http://www.wvbauer.com


> -----Original Message-----
> From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org]
> On Behalf Of Michael Haenlein
> Sent: Tuesday, February 22, 2011 11:41
> To: r-help at r-project.org
> Subject: [R] System of related regression equations
> 
> Dear all,
> 
> I would like to estimate a system of regression equations of the following
> form:
> 
> y1 = a1 + b1 x1 + b2x2 + e1
> y2 = a2 + c1 y1 + c2 x2 + c3 x3 + e2
> 
> Specifically the dependent variable in Equation 1 appears as an
> independent
> variable in Equation 2. Additionally some independent variables that
> appear
> in Equation 1 are also included in Equation 2.
> 
> I assume that I cannot estimate these two regressions separately using lm.
> Is there an efficient way to estimate these equations?
> 
> Thanks very much in advance,
> 
> Michael
> 
> 
> 
> Michael Haenlein
> Professor of Marketing
> ESCP Europe
> Paris, France