systemfit (version 0.7-1)

prediction.systemfit: 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.

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

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 )