This is just the ordinary lag.ts function as described in ?lag.ts . dyn has no lag function and does not itself understand lags. It just produces a model frame that has the left and right sides aligned along time.
One could either regress y ~ lag(y,-1) or regress lag(y,1) ~ y and get the same coefficients. The fitted result will be the same except that the second one will be lagged in comparison to the first one (which is why the first is likely preferred). Compare lm1 <- dyn$lm(y ~ lag(y,-1)) lm1 and lm2 <- dyn$lm(lag(y,1) ~ y) lm2 and compare fitted(lm1) and fitted(lm2) . Try package?dyn which will point you to the various help files and demos in the package. On 5/25/06, Kerpel, John <[EMAIL PROTECTED]> wrote: > Gabor: > > Should lags while using dyn be specified using a negative - (e.g. > lag(y,-1) instead of lag(y,1) to indicate one period earlier ? Is this > different from the lag function which seems to use lag(y,1) to denote > one period earlier? > > Thanks, > John > > -----Original Message----- > From: Gabor Grothendieck [mailto:[EMAIL PROTECTED] > Sent: Monday, May 15, 2006 11:09 AM > To: Kerpel, John > Cc: [email protected] > Subject: Re: [R] Dyn or Dynlm and out of sample forecasts > > Try this: > > # test data > set.seed(1) > y <- ts(1:10 + rnorm(10, 0, 0.1)) > > # fit model > library(dyn) > y.lm <- dyn$lm(y ~ lag(y,-1)) > > # use predict > tail(predict(y.lm, list(y = y)), 1) > > # or multiply by coefficients giving same result > coef(y.lm) %*% c(1, tail(y,1)) > > # Now try it using quantile regression > library(quantreg) > y.rq <- dyn$rq(y ~ lag(y,-1)) > tail(predict(y.rq, list(y = y)), 1) > coef(y.rq) %*% c(1, tail(y,1)) > > On 5/15/06, Kerpel, John <[EMAIL PROTECTED]> wrote: > > All: > > > > > > > > How do I obtain one step ahead out-of-sample forecasts from a model > > using "dyn" or "dynlm" ? > > > > > > > > Thanks! > > > > > > > > Best, > > > > > > > > John > > > > > > > > > > [[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 > > > ______________________________________________ [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
