Hello: I would like to generate rolling, multiperiod forecasts from an estimated ARIMA model, but the function predict.Arima seems only to generate forecasts from the last observation in the data set. To implement this, I was looking for an argument like 'newdata=' in predict.lm. I can write some code that does this for my particular problem, but might there exist a package/function that does this that I cannot find? Thanks, -Michael Michael J. Roberts Resource Economics Division Production, Management, and Technology USDA-ERS (202) 694-5557 (phone) (202) 694-5775 (fax)
There are functions in the dse bundle that do this. (See featherForecasts and horizonForecasts.) You might look through the users' guide to get an idea if they are exactly what you want. Paul Gilbert Michael Roberts wrote:>Hello: > >I would like to generate rolling, multiperiod forecasts from an >estimated ARIMA model, but the function predict.Arima seems >only to generate forecasts from the last observation in the data >set. To implement this, I was looking for an argument like >'newdata=' in predict.lm. > >I can write some code that does this for my particular problem, >but might there exist a package/function that does this that I >cannot find? > >Thanks, >-Michael > > > > >Michael J. Roberts > >Resource Economics Division >Production, Management, and Technology >USDA-ERS >(202) 694-5557 (phone) >(202) 694-5775 (fax) > >______________________________________________ >R-help at stat.math.ethz.ch mailing list >https://stat.ethz.ch/mailman/listinfo/r-help >PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html > > >