The dyn package has a predict method that can typically be used to predict one step ahead (and you can use a loop to get multiple steps). To use just preface lm (or glm or any model fitting function in R that uses model.frame in the same way as lm). It works with zoo, zooreg, ts, its and irts class series.
library(dyn) # this also pulls in zoo # generate test data set.seed(123) x <- zooreg(rep(1, 10)) for(i in 2:10) x[i] <- x[i-1] + rnorm(1) # fit model Lag <- function(x, k = 1) lag(x, -k) mod <- dyn$lm(x ~ Lag(x)) # perform prediction and plot x. <- predict(mod, list(x = x)) plot(cbind(x, x.), col = 1:2, screen = 1) # get more info package?dyn ?dyn On Sun, Nov 22, 2009 at 9:43 PM, zubin <binab...@bellsouth.net> wrote: > Hello, can one use predict, as you can with other model objects like lm, > with dynlm to predict a new data set that is identical in field names, > just a different time period. > > Be nice if you could, I don't really want to create a new data set with > all the lags, hoping it would generate dynamically. Does not seem to > work, get a # of column error. Any suggestions? > > > R> str(dfz) > An 'xts' object from 2009-09-25 09:45:06 to 2009-10-19 15:00:57 containing: > Data: num [1:28232, 1:8] 0.54771 -0.00825 1.27406 0.69705 1.08107 ... > - attr(*, "dimnames")=List of 2 > ..$ : NULL > ..$ : chr [1:8] "PC1" "PC2" "PC3" "PC4" ... > Indexed by objects of class: [POSIXt,POSIXct] TZ: GMT > xts Attributes: > NULL > > R> str(z) > An 'xts' object from 2009-10-21 09:45:04 to 2009-10-21 15:00:56 containing: > Data: num [1:2304, 1:8] -0.5044 1.237 -0.7764 0.3931 0.0629 ... > - attr(*, "dimnames")=List of 2 > ..$ : NULL > ..$ : chr [1:8] "PC1" "PC2" "PC3" "PC4" ... > Indexed by objects of class: [POSIXt,POSIXct] TZ: GMT > xts Attributes: > NULL > > > dols = dynlm(FAS0 ~ L(FAS0,1:10) + L(PC1,0:10) + L(PC2,0:10) + > L(PC3,0:10) + L(PC4,0:10) + L(PC5,0:10) + L(PC6,0:10) + L(PC7,0:10), > data=dfz) > > R> predict(dols,newdata=z) > > /*Error in fix.by(by.x, x) : 'by' must match numbers of columns*/ > > [[alternative HTML version deleted]] > > ______________________________________________ > 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. > ______________________________________________ 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.
