Hi UseRs - I am new to R, and could use some help making out-of-sample predictions using a boosting model (the mboost command). The issue is complicated by the fact that I have panel data (time by country), and am estimating the model separately for each country. FYI, this is monthly data and I have 1986m1 - 2009m12 for 9 countries.
To give you a flavor of what I am doing, here is a simple example to show how I make in-sample predictions: # data has following columns: country year month y x1 x2 x3 dat = read.csv(data.csv) # Create function that estimates model, produces in-sample predictions bbox = function(df) { blackbox = mboost(y ~ x1 + x2 + x3) predict(blackbox) } # Use lapply to estimate by country bycountry = lapply(split(dat, dat$country), bbox) So that in the end I have an object bycountry that contains the in-sample predictions of the model, estimated for each country separately. What I would like to do is take this model and estimate it for each country using some initial data. I.e., estimate Australia with 1986m1-2003m12, make prediction about 2004m1, roll data forward. Estimate AUS with 1986m2-2004m1, predict 2004m2, etc for all data points. Now do the same for Canada, Denmark, etc. So I guess my problem is twofold. 1) How to make these out-of-sample predictions, by country, when my data has not been declared as time-series? (I do not think that mboost can handle time-series data...x1 x2 and x3 have been lagged appropriately). 2) How to save the one-step ahead predictions into a vector? Any thoughts would be greatly appreciated. Many thanks! -Travis [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.