On Sat, Feb 12, 2011 at 4:08 PM, Paka yag <pak...@web.de> wrote: > > 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! >
See: http://stackoverflow.com/questions/4856555/iteratively-forecasting-dyn-models/4858364#4858364 -- Statistics & Software Consulting GKX Group, GKX Associates Inc. tel: 1-877-GKX-GROUP email: ggrothendieck at gmail.com ______________________________________________ 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.
