Hello all,
I am following some standard code from Zelig manual when using a SUR
(Seemingly Unrelated Regression Model) to constrain parameters across
equations.
Please see code below:
setwd("C:/Research/Economics/SUR_FX/Model")
# Seemingly Unrelated Regression
# Load our library.
library(Zelig)
library(systemfit)
library(zoo)
# data.
factors <- read.table("./RFactors.txt", header = TRUE)
returns <- read.table("./RReturns.txt", header = TRUE)
myData <- c(factors,returns)
# This is our system of equations.
mySys <- list(mu1 = USDEUR ~ USDRATE + tag(USDYC, "USDYC")+ USDCC + EURRATE
+ EURYC + EURLY,
mu2 = USDGBP ~ USDRATE + tag(USDYC, "USDYC") + USDCC + GBPRATE + GBPYC
+
GBPLY,
mu3 = USDCHF ~ USDRATE + tag(USDYC, "USDYC") + USDCC + CHFRATE + CHFYC
+
CHFLY,
mu4 = USDSEK ~ USDRATE + tag(USDYC, "USDYC") + USDCC + SEKRATE + SEKYC
+
SEKLY,
mu5 = USDNOK ~ USDRATE + tag(USDYC, "USDYC") + USDCC + NOKRATE + NOKYC
+
NOKLY,
mu6 = USDJPY ~ USDRATE + tag(USDYC, "USDYC") + USDCC + JPYRATE + JPYYC
+
JPYLY,
mu7 = USDSGD ~ USDRATE + tag(USDYC, "USDYC") + USDCC + SGDRATE + SGDYC
+
SGDLY,
mu8 = USDAUD ~ USDRATE + tag(USDYC, "USDYC") + USDCC + AUDRATE + AUDYC
+
AUDLY,
mu9 = USDCAD ~ USDRATE + tag(USDYC, "USDYC") + USDCC + CADRATE + CADYC
+
CADLY,
mu10 = USDNZD ~ USDRATE + tag(USDYC, "USDYC") + USDCC + NZDRATE + NZDYC
+
NZDLY)
# Here is our zelig function call.
z.out <- zelig(mySys,"sur", myData)
------ After this I am getting error:
Error in eval(expr, envir, enclos) : could not find function "tag"
there exists no info (I could find anyways..) RE installing tag() seperate,
also tag should be able to be used for the SUR model...
Any help would be appreciated.
Thanks
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