What I want R to do is to use the estimated Y at t-1 to be the lag(Y,-1) in the forecast equation for time t. Is there anyway I can realize this with R? For example, when the Y value for year 18 is forecast, the estimated Y for year 17 is used, not the actual Y for year 17 already in the data. Thanks for you patience. I appreciate it. Harry
On Thu, Jul 23, 2009 at 5:44 PM, Gabor Grothendieck <[email protected] > wrote: > You can't remove Y since its in the rhs of your model. > > On Thu, Jul 23, 2009 at 8:25 PM, Hongwei Dong<[email protected]> wrote: > > 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.
