predict.systemfit {systemfit}R Documentation

Predictions from Equation System Estimation

Description

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

Usage

## S3 method for class 'systemfit':
predict( object, data = object$data,
                             se.fit = FALSE, se.pred = FALSE,
                             interval = "none", level=0.95, ... )

Arguments

object an object of type systemfit.
data data frame in which to predict.
se.fit return the standard error of the fitted values?
se.pred return the standard error of prediction?
interval Type of interval calculation ("none", "confidence" or "prediction")
level Tolerance/confidence level.
... additional optional arguments.

Details

The variance of the fitted values (used to calculate the standard errors of the fitted values and the "confidence interval") is calculated by Var[E[y^0]-hat{y}^0]=x^0 ; Var[b] ; {x^0}'
The variances of the predicted values (used to calculate the standard errors of the predicted values and the "prediction intervals") is calculated by Var[y^0-hat{y}^0]=hat{σ}^2+x^0 ; Var[b] ; {x^0}'

Value

predict.systemfit returns a dataframe that contains for each equation the predicted values (e.g. "eq1.pred") and if requested the standard errors of the fitted values (e.g. "eq1.se.fit"), the standard errors of the prediction (e.g. "eq1.se.pred"), and the lower (e.g. "eq1.lwr") and upper (e.g. "eq1.upr") limits of the confidence or prediction interval(s).

Author(s)

Arne Henningsen ahenningsen@agric-econ.uni-kiel.de

References

Greene, W. H. (2003) Econometric Analysis, Fifth Edition, Macmillan.

Gujarati, D. N. (1995) Basic Econometrics, Third Edition, McGraw-Hill.

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

See Also

systemfit, predict.systemfit.equation and predict

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 )

## calculate predicted values and limits
predict( fitols )

[Package systemfit version 0.7-3 Index]