prediction.systemfit {systemfit}R Documentation

Predictions from Equation System Estimation

Description

Returns the predicted values, their standard errors and the confidence limits of prediction.

Usage

prediction.systemfit( object, data=object$data, alpha=0.05 )

Arguments

object an object of type systemfit.system.
data a dataframe containing the exogenous variables.
alpha level of significance.

Value

prediction.systemfit returns a list of objects for each equation that contains the following components:

predicted predicted values.
se.prediction standard error of the predicted values.
prediction.limits lower and upper (1-alpha) confidence limits of prediction.

Author(s)

Arne Henningsen (http://www.arne-henningsen.de)

References

Greene, W. H. (1993) Econometric Analysis, Second Edition, Macmillan.

Kmenta, J. (1997) Elements of Econometrics, Second Edition, University of Michigan Publishing.

See Also

systemfit

Examples

## Not run: library( systemfit )
data( kmenta )
demand <- q ~ p + d
supply <- q ~ p + f + a
labels <- list( "demand", "supply" )
system <- list( demand, supply )

## OLS estimation
fitols <- systemfit("OLS", system, labels, data=kmenta )
print( fitols )

## calculate predicted values and limits
pred <- prediction.systemfit( fitols )
print( pred[[2]]$prediction.limits )
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