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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