Please consider using the R package systemfit. It has existed for about 10
years, I've used it many times happily :)

I've not used gmm package, I'm not criticizing it. But I have good results
from systemfit. It has good documentation.

"This package contains functions for fitting
 simultaneous systems of linear and nonlinear
 equations using Ordinary Least Squares (OLS),
 Weighted Least Squares (WLS), Seemingly Unrelated
 Regressions (SUR), Two-Stage Least Squares (2SLS),
 Weighted Two-Stage Least Squares (W2SLS), and
 Three-Stage Least Squares (3SLS)."

If that doesn't work for you, please show us your example code, along with
the error messages.





On Sat, Jun 29, 2013 at 11:18 AM, John Fox <jfox@mcmaster.ca> wrote:

> Dear Hans-Christian
>
> > -----Original Message-----
> > From: r-help-bounces@r-project.org [mailto:r-help-bounces@r-
> > project.org] On Behalf Of hck
> > Sent: Saturday, June 29, 2013 11:19 AM
> > To: r-help@r-project.org
> > Subject: Re: [R] 2SLS / TSLS / SEM non-linear
> >
> > The challenge is to firstly calculate the reduced form. As far as I
> > know, the
> > SEM package does not do this automatically. Am I correct?
> >
>
> Right. If you look at the code in sem:::tsls.default, you'll see that it
> formulates and solves the 2SLS estimating equations directly (using a
> Cholesky decomposition). Moreover, tsls() is for linear structural
> equations.
>
> Best,
>  John
>
> -----------------------------------------------
> John Fox
> Senator McMaster Professor of Social Statistics
> Department of Sociology
> McMaster University
> Hamilton, Ontario, Canada
>
>
> >
> >
> >
> >
> > --
> > View this message in context: http://r.789695.n4.nabble.com/2SLS-TSLS-
> > SEM-non-linear-tp4670123p4670595.html
> > Sent from the R help mailing list archive at Nabble.com.
> >
> > ______________________________________________
> > R-help@r-project.org mailing list
> > https://stat.ethz.ch/mailman/listinfo/r-help
> > PLEASE do read the posting guide http://www.R-project.org/posting-
> > guide.html
> > and provide commented, minimal, self-contained, reproducible code.
>
> ______________________________________________
> R-help@r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>



-- 
Paul E. Johnson
Professor, Political Science      Assoc. Director
1541 Lilac Lane, Room 504      Center for Research Methods
University of Kansas                 University of Kansas
http://pj.freefaculty.org               http://quant.ku.edu

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