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. >> > > >
______________________________________________ [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.
