[R] Question on Simultaneous Equations & Forecasting

OseiBonsu, Frances Frances.OseiBonsu at lasalle.com
Wed Jul 12 22:35:52 CEST 2017


I have estimated a simultaneous equation model (similar to Klein's model) in R using the system.fit package.

I have an identity equation, along with three other equations. Do you know how to explicitly identify the identity equation in R?

I am also trying to forecast the dependent variables in the simultaneous equation model, while incorporating the identity equation in the forecasts. Is there a way to do this in R?

The only way that I have been able to forecast the dependent variables has been by getting the predictions of each variable, converting them to time series uni-variables, and forecasting each variable individually.

Any help would be appreciated.

Best Regards,

Frances Osei-Bonsu
Summer Analyst, Research and Strategy
LaSalle Investment Management
333 West Wacker Drive, Suite 2300, Chicago IL 60606
Email frances.oseibonsu at lasalle.com<mailto:frances.oseibonsu at lasalle.com>
Tel +1 312 897 4024

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