Re: [Gretl-users] Doing forecasts with system equation?

On Mon, 10 Nov 2008, jan.limbers(a)prognos.com wrote: > Hi! > > One last try before I go back to Eviews :-) > > Does anyone - maybe the creators of this gretl feature - know if one > can do forecasts with the > system equation tool? Defining macro-models with equations and > identities for example and estimate > the forecast variables in mutual dependency? And by chance, has anyone > done this before and can > show me the way a little bit? > > regards, Jan > I apologise for the scarcity of detail, but the following script should exemplify what I think you need: it's an example on the Klein model, with the forecast obtained by filling the exogenous variables with the last observed value. <script> set echo off set messages off open klein.gdt genr W = Wp + Wg genr A = t - 1931 genr KL = K(-1) rename I Inv rename T Tax Klein <- system equation C 0 P P(-1) W equation Inv 0 P P(-1) KL equation Wp 0 X X(-1) A identity X = C + Inv + G identity P = X - Tax - Wp identity K = KL + Inv identity W = Wp + Wg endog C Inv Wp X P K W end system estimate "Klein" method=ols dataset addobs 1 list ALL = dataset loop foreach i ALL $i[1942] = $i[1941] end loop smpl 1920 1941 fcasterr 1920 1942 C --static --quiet series Chat = $fcast fcasterr 1920 1942 W --static --quiet series What = $fcast </script> Riccardo (Jack) Lucchetti Dipartimento di Economia Università Politecnica delle Marche r.lucchetti(a)univpm.it http://www.econ.univpm.it/lucchetti ------------------------------------------------------------------------ _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users