Pfaff, Bernhard
2002-Aug-13 11:09 UTC
[R] Ex ante forecasting from structural equation models (SEM package)
Dear Helplist, I want to produce forecasts from a structural equation model. With the SEM package the model setup and its estimation is possible. However, I have not figured out how to obtain ex ante forecasts, i.e. applying the Gauss-Seidel algorithm to the estimated structural equations for provided values of the exogenous variables (i.e.: y_t = -inv(A)*B*x_t). Does anyone know if the there is a function for producing such forecasts via Gauss-Seidel or what other functions are supporting objects of class 'SEM' or model notations in 'RAM' for achieving this task? Many thks, Bernhard If you have received this e-mail in error or wish to read our e-mail disclaimer statement and monitoring policy, please refer to http://www.drkw.com/disc/email/ or contact the sender -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._
John Fox
2002-Aug-13 14:26 UTC
[R] Ex ante forecasting from structural equation models (SEM package)
Dear Bernhard, What you want are the reduced-form coefficients implied by the structural form of the model. I don't know a simple way of getting this from the RAM formulation of the model, short of constructing the coefficient matrices A and B from the estimates, which shouldn't be too onerous. As far as I know, there are no methods for objects of class "sem" other than what's included in the package. Suggestions are welcome, of course. Sorry, John At 01:09 PM 8/13/2002 +0200, Pfaff, Bernhard wrote:>Dear Helplist, > >I want to produce forecasts from a structural equation model. With the SEM >package the model setup and its estimation is possible. However, I have not >figured out how to obtain ex ante forecasts, i.e. applying the Gauss-Seidel >algorithm to the estimated structural equations for provided values of the >exogenous variables (i.e.: y_t = -inv(A)*B*x_t). > >Does anyone know if the there is a function for producing such forecasts via >Gauss-Seidel or what other functions are supporting objects of class 'SEM' >or model notations in 'RAM' for achieving this task? > >Many thks, >Bernhard----------------------------------------------------- John Fox Department of Sociology McMaster University Hamilton, Ontario, Canada L8S 4M4 email: jfox at mcmaster.ca phone: 905-525-9140x23604 web: www.socsci.mcmaster.ca/jfox ----------------------------------------------------- -.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.- r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html Send "info", "help", or "[un]subscribe" (in the "body", not the subject !) To: r-help-request at stat.math.ethz.ch _._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._