StackOverflow2013

Note that there are some explanatory texts on larger screens.

plurals

POIteratively forecasting dyn models
text
Body
copied!<p>I've written a function to iteratively forecast models built using the package dyn, and I'd like some feedback on it. Is there a better way to do this? Has someone written canonical "forecast" methods for the dyn class (or dynlm class), or am I venturing into uncharted territory here?</p> <pre><code>ipredict <-function(model, newdata, interval = "none", level = 0.95, na.action = na.pass, weights = 1) { P<-predict(model,newdata=newdata,interval=interval, level=level,na.action=na.action,weights=weights) for (i in seq(1,dim(newdata)[1])) { if (is.na(newdata[i])) { if (interval=="none") { P[i]<-predict(model,newdata=newdata,interval=interval, level=level,na.action=na.action,weights=weights)[i] newdata[i]<-P[i] } else{ P[i,]<-predict(model,newdata=newdata,interval=interval, level=level,na.action=na.action,weights=weights)[i,] newdata[i]<-P[i,1] } } } P_end<-end(P)[1]*frequency(P)+(end(P)[2]-1) #Convert (time,period) to decimal time P<-window(P,end=P_end-1*frequency(P)) #Drop last observation, which is NA return(P) } </code></pre> <p>Example usage:</p> <pre><code>library(dyn) y<-arima.sim(model=list(ar=c(.9)),n=10) #Create AR(1) dependant variable A<-rnorm(10) #Create independant variables B<-rnorm(10) C<-rnorm(10) Error<-rnorm(10) y<-y+.5*A+.2*B-.3*C+.1*Error #Add relationship to independant variables data=cbind(y,A,B,C) #Fit linear model model.dyn<-dyn$lm(y~A+B+C+lag(y,-1),data=data) summary(model.dyn) #Forecast linear model A<-c(A,rnorm(5)) B<-c(B,rnorm(5)) C<-c(C,rnorm(5)) y=window(y,end=end(y)+c(5,0),extend=TRUE) newdata<-cbind(y,A,B,C) P1<-ipredict(model.dyn,newdata) P2<-ipredict(model.dyn,newdata,interval="prediction") #Plot plot(y) lines(P1,col=2) </code></pre>

Querying!

Guidance

An individual column

Larger individual text columns get their own page to allow for proper reading.

SQuiL has stopped working due to an internal error.

If you are curious you may find further information in the browser console, which is accessible through the devtools (F12).

Reload