Hello I have model that is: lm(y~ lag(x, -1) + lag(z, -1) so basically a time series regression with exogen variables And I want to make rolling out of sample forecasts, meaning that:
I first use a subsample (e.g. 1990 -1995) for estimating, then I perform a one step ahead forecast, then I add one observation and make another one step ahead forecast and so on I have tried to work with rollapply and defining the model as arima(0,0,0) with xreg=lags of the other varibles, but that doesnt work. Please, if you could point me to a solution, your help is much appreciated! Chris ______________________________________________ R-help@r-project.org 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.
