Thanks, Gabor. Here are the problems I'm trying to solve. *FIRST*, I run this to simulate a 20 years time series process. The data from 1-15 years are used to estimate the model, and this model is used to predict the year from 16-20. The following script works.
set.seed(123) tt <- ts(cbind(Y = 1:20, x = rnorm(20), z = rnorm(20))) L <- function(x, k = 1) lag(x, -k) tt.zoo <- as.zoo(tt) fit <- dyn$lm(Y ~ L(Y) + z + L(x, 0:1), tt.zoo[(1:15), ]) fit pred <- predict(fit, tt.zoo[(16:20),]) pred *SECONDLY*, I use similar script, but pretend that we do not know the Y data from year 16-20. We know x and z for year 16-20, and use them predict Y based on the model estimated from 1-15 years. So, in the "newdata" part, I use tt.zoo[(16:20), (2:3)] to remove the Y out. here is the script. Unfortunately, it does not work in that way. pred1 <- predict(fit, tt.zoo[(16:20),(2:3)]) pred1 It will be greatly appreciated if you can give me some guide on this. Thanks. Harry On Wed, Jul 22, 2009 at 10:04 PM, Gabor Grothendieck < [email protected]> wrote: > Use dyn.predict like this: > > > library(dyn) > > x <- y <- zoo(1:5) > > mod <- dyn$lm(y ~ lag(x, -1)) > > predict(mod, list(x = zoo(6:10, 6:10))) > 7 8 9 10 > 7 8 9 10 > > > On Thu, Jul 23, 2009 at 12:54 AM, Hongwei Dong<[email protected]> wrote: > > I have a dynamic time series model like this: > > dyn$lm( y ~ lag(y,-1) + x + lag(x,-1)+lag(x,-2) ) > > > > I need to do an out of sample forecast with this model. Is there any way > I > > can do this with R? > > It would be greatly appreciated if some one can give me an example. > Thanks. > > > > > > Harry > > > > [[alternative HTML version deleted]] > > > > ______________________________________________ > > [email protected] 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. > > > [[alternative HTML version deleted]] ______________________________________________ [email protected] 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.
