SIMULFORE.RPF

SIMULFORE.RPF is an example of forecasting with a simultaneous equations model.

PRSETUP.SRC reads the data and sets up the small Pindyck and Rubinfeld model.

Full Program

source prsetup.src
*
* Close the model (for out-of-sample forecasting) by adding
* autoregressive models for the two exogenous variables (G and M). "Add"
* those plus a definitional identity for MDIFF to the base model.
*
linreg(define=moneyeq) m
# constant m{1 2}
linreg(define=govteq) govt
# constant govt{1 2}
frml(identity) mdiffid mdiff = m-m{1}
group exogs moneyeq govteq mdiffid
*
forecast(model=exogs+prsmall,print,from=1986:1,to=1990:4)

Output

Linear Regression - Estimation by Instrumental Variables

Dependent Variable CONS

Quarterly Data From 1950:01 To 1985:04

Usable Observations 144

Degrees of Freedom 141

Mean of Dependent Variable 1411.1625000

Std Error of Dependent Variable 486.7321052

Standard Error of Estimate 11.3436190

Sum of Squared Residuals 18143.554637

J-Specification(6) 57.9253

Significance Level of J 0.0000000

Durbin-Watson Statistic 1.6308

Variable Coeff Std Error T-Stat Signif

************************************************************************************

1. Constant -3.179856661 4.955717830 -0.64165 0.52213953

2. GNP 0.025662687 0.018196110 1.41034 0.16064181

3. CONS{1} 0.968332903 0.027185648 35.61927 0.00000000

Linear Regression - Estimation by Instrumental Variables

Dependent Variable INVEST

Quarterly Data From 1950:01 To 1985:04

Usable Observations 144

Degrees of Freedom 139

Mean of Dependent Variable 383.83541667

Std Error of Dependent Variable 131.09401018

Standard Error of Estimate 16.77065169

Sum of Squared Residuals 39094.411362

J-Specification(4) 25.4954

Significance Level of J 0.0000400

Durbin-Watson Statistic 2.0049

Variable Coeff Std Error T-Stat Signif

************************************************************************************

1. Constant -25.50262769 6.43431018 -3.96354 0.00011761

2. INVEST{1} 0.63725350 0.04801265 13.27262 0.00000000

3. YDIFF{1} 0.21449446 0.05425583 3.95339 0.00012218

4. GNP 0.08071954 0.01097636 7.35394 0.00000000

5. RATE{4} -4.66692375 0.98255518 -4.74978 0.00000501

Linear Regression - Estimation by Instrumental Variables

Dependent Variable RATE

Quarterly Data From 1950:01 To 1985:04

Usable Observations 144

Degrees of Freedom 139

Mean of Dependent Variable 5.1534027778

Std Error of Dependent Variable 3.2689143326

Standard Error of Estimate 0.9179997089

Sum of Squared Residuals 117.13856171

J-Specification(4) 56.2149

Significance Level of J 0.0000000

Durbin-Watson Statistic 1.4510

Variable Coeff Std Error T-Stat Signif

************************************************************************************

1. Constant 0.273120392 0.342410955 0.79764 0.42644042

2. GNP -0.000434281 0.000276810 -1.56888 0.11895023

3. YDIFF 0.022534344 0.005184064 4.34685 0.00002650

4. MDIFF -0.079425302 0.017715078 -4.48349 0.00001523

5. RSUM{1} 0.541787141 0.031239423 17.34306 0.00000000

Linear Regression - Estimation by Least Squares

Dependent Variable M

Quarterly Data From 1947:03 To 1988:01

Usable Observations 163

Degrees of Freedom 160

Centered R^2 0.9876275

R-Bar^2 0.9874728

Uncentered R^2 0.9999031

Mean of Dependent Variable 493.00981595

Std Error of Dependent Variable 43.93588091

Standard Error of Estimate 4.91751282

Sum of Squared Residuals 3869.1091751

Regression F(2,160) 6385.9552

Significance Level of F 0.0000000

Log Likelihood -489.3999

Durbin-Watson Statistic 2.0387

Variable Coeff Std Error T-Stat Signif

************************************************************************************

1. Constant 3.219680131 4.672702633 0.68904 0.49179593

2. M{1} 1.631423662 0.062323673 26.17663 0.00000000

3. M{2} -0.637295657 0.064459457 -9.88677 0.00000000

Linear Regression - Estimation by Least Squares

Dependent Variable GOVT

Quarterly Data From 1947:03 To 1988:01

Usable Observations 163

Degrees of Freedom 160

Centered R^2 0.9967366

R-Bar^2 0.9966958

Uncentered R^2 0.9997539

Mean of Dependent Variable 506.32822086

Std Error of Dependent Variable 145.05087848

Standard Error of Estimate 8.33778705

Sum of Squared Residuals 11122.990860

Regression F(2,160) 24434.5626

Significance Level of F 0.0000000

Log Likelihood -575.4631

Durbin-Watson Statistic 1.9985

Variable Coeff Std Error T-Stat Signif

************************************************************************************

1. Constant 5.569604631 2.373297901 2.34678 0.02016147

2. GOVT{1} 1.374244807 0.075110937 18.29620 0.00000000

3. GOVT{2} -0.381013465 0.074886335 -5.08789 0.00000100

Entry M GOVT MDIFF CONS INVEST RATE GNP RSUM YDIFF

1986:01 549.2205920 759.9213704 6.02059200 2402.760005 664.2329409 6.905564562 3826.914317 14.05156456 46.71431667

1986:02 553.0521491 762.7177532 3.83155708 2422.823571 685.1317379 6.886857289 3870.673062 13.79242185 43.75874503

1986:03 555.4661448 764.1902417 2.41399576 2443.272546 702.9864416 6.752029589 3910.449229 13.63888688 39.77616715

1986:04 556.9625600 765.1483419 1.49641511 2463.966584 716.1171562 6.614100185 3945.232082 13.36612977 34.78285319

1987:01 557.8654180 765.9039682 0.90285801 2484.844234 727.1745866 6.452125808 3977.922789 13.06622599 32.69070698

1987:02 558.3847030 766.5773346 0.51928507 2505.852637 736.3503306 6.265397033 4008.780302 12.71752284 30.85751336

1987:03 558.6564895 767.2148011 0.27178646 2526.972979 744.8782792 6.070095268 4039.066059 12.33549230 30.28575704

1987:04 558.7689502 767.8342745 0.11246074 2548.200642 753.2750893 5.861693986 4069.310006 11.93178925 30.24394633

1988:01 558.7792130 768.4426993 0.01026279 2569.538981 761.8354615 5.643772041 4099.817142 11.50546603 30.50713645

1988:02 558.7242852 769.0427961 -0.05492779 2590.995521 770.7157004 5.414221841 4130.754017 11.05799388 30.93687509

1988:03 558.6281343 769.6356581 -0.09615092 2612.577625 779.9104470 5.171191666 4162.123730 10.58541351 31.36971265

1988:04 558.5062767 770.2217506 -0.12185765 2634.292145 789.4014716 4.912896631 4193.915367 10.08408830 31.79163720

1989:01 558.3687518 770.8012968 -0.13752489 2656.145013 799.1552392 4.637442301 4226.101549 9.55033893 32.18618189

1989:02 558.2220498 771.3744260 -0.14670201 2678.141709 809.1558532 4.343506811 4258.671988 8.98094911 32.57043923

1989:03 558.0703607 771.9412309 -0.15168911 2700.287767 819.4062082 4.029958365 4291.635207 8.37346518 32.96321831

1989:04 557.9163840 772.5017897 -0.15397665 2722.589091 829.9222235 3.695862190 4325.013104 7.72582056 33.37789757

1990:01 557.7618537 773.0561744 -0.15453034 2745.052200 840.7282834 3.340374252 4358.836657 7.03623644 33.82355316

1990:02 557.6078779 773.6044542 -0.15397581 2767.684269 851.8507561 2.962625334 4393.139479 6.30299959 34.30282218

1990:03 557.4551596 774.1466969 -0.15271826 2790.493101 863.3149721 2.561695647 4427.954770 5.52432098 34.81529034

1990:04 557.3041395 774.6829691 -0.15102007 2813.487053 875.1438797 2.136582012 4463.313902 4.69827766 35.35913222