[R] Question on Simultaneous Equations & Forecasting
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.
Summer Analyst, Research and Strategy
LaSalle Investment Management
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