[R] Forecasting with macroeconomic structural equations models?

[John Fox]

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 at stat.math.ethz.ch 
> [mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Ronaldo Carpio
> Sent: Wednesday, June 08, 2005 9:10 PM
> To: r-help at 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 at yahoo.com
>