If by "problem" you mean the problem of determining how, in general, you should proceed perhaps you need an introductory guide on R and time series such as Cowpertwait's book.
On Thu, Jul 23, 2009 at 10:37 PM, Hongwei Dong<[email protected]> wrote: > Hi, Gabor, it seems ARIMA model does not have that problem. For example: > set.seed(123) > y<-ts(c(1:20)) > x = ts(rnorm(20)) > z = ts(rnorm(20)) > tt<-ts(cbind(x, lag(x,-1),lag(x,-2),z)) > fit <- arima(y[1:15],order=c(1,0,0),xreg=tt[(1:15),]) > fit > pred <- predict(fit, n.ahead=5,tt[(16:20),]) > pred > What do you make of this? Thanks. > Harry > > On Thu, Jul 23, 2009 at 6:36 PM, Gabor Grothendieck > <[email protected]> wrote: >> >> Try this: >> >> library(dyn) >> set.seed(123) >> tz <- zoo(cbind(Y = 0, x = rnorm(10), z = rnorm(10))) >> >> # simulate values >> for(i in 2:10) { >> tz$Y[i] <- with(tz, 2*Y[i-1] + 3*z[i] +4* x[i] + 5*x[i-1] + rnorm(1)) >> } >> >> # keep copy of tz to compare later to simulated Y's >> tz.orig <- tz >> >> # NA out Y's that are to be predicted >> tz[7:10, "Y"] <- NA >> >> L <- function(x, k = 1) lag(x, -k) >> >> # predict 1 ahead each iteration >> for(i in 7:10) { >> # fit based on first i-1 values >> fit <- dyn$lm(Y ~ L(Y) + z + L(x, 0:1), tz, subset = seq_len(i-1)) >> # get prediction for ith value >> tz[i, "Y"] <- tail(predict(fit, tz[1:i,]), 1) >> } >> cbind(pred = tz[7:10, "Y"], act = tz.orig[7:10, "Y"]) >> >> >> On Thu, Jul 23, 2009 at 9:02 PM, Hongwei Dong<[email protected]> wrote: >> > 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. >> >> >> > >> >> > >> >> > >> > >> > > > ______________________________________________ [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.
