RE: [R] Forecasting with macroeconomic structural equations models?

From: John Fox <jfox_at_mcmaster.ca>
Date: Thu 09 Jun 2005 - 21:33:50 EST


Dear Ronaldo,

As you discovered, there are no predict methods in the sem package, either for tsls or sem objects. You might have a look at the systemfit package, which does support predict().

More generally, you should be able to substitute out identities and base predictions on the reduced form of the model. To do so, you'll need forecasts for the exogenous variables in the system.

I hope that this helps,
 John



John Fox
Department of Sociology
McMaster University
Hamilton, Ontario
Canada L8S 4M4
905-525-9140x23604
http://socserv.mcmaster.ca/jfox

> -----Original Message-----
> From: r-help-bounces@stat.math.ethz.ch
> [mailto:r-help-bounces@stat.math.ethz.ch] On Behalf Of Ronaldo Carpio
> Sent: Wednesday, June 08, 2005 9:10 PM
> To: r-help@stat.math.ethz.ch
> Subject: [R] Forecasting with macroeconomic structural
> equations models?
>
>
> Hello,
>
> Is there a package or sample code that shows how to do ex
> ante forecasts with a macroeconomic structural equations
> model? I looked at the "sem" package, which lets you
> estimate e.g. Klein's model, but I'm not sure how to make
> simulations using the full set of equations, including the identities.
>
>
> Thank you,
>
> Ronaldo Carpio
> rncarpio@yahoo.com
>



R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Thu Jun 09 21:38:21 2005

This archive was generated by hypermail 2.1.8 : Fri 03 Mar 2006 - 03:32:28 EST