R help - Feb 2011 - out of sample forecast

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

On Sat, Feb 12, 2011 at 4:08 PM, Paka yag <paka.y at 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


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