hello all,
I am a beginner at R and not exactly a statistician either. I'm messing
around with a probit model on an enconomic time series. I can get the model
estimated but I have not been able to get it to give me predictions out of
sample data. I'm using the predict function but getting errors. Here is my
code:
#predict a recession 12 months out
#k=12 means 12 months forward
#dates must be trimmed manually
recession.probModel <- glm(formula
window(lag(recession.TS,k=12),start=c(1986,2)) ~
window(FEDFUNDS.TS,start=c(1986,2),end=c(2010,7))
+ window(sp500Ret.TS,end=c(2010,7))+
window(CurveSlope.TS,start=c(1986,2),end=c(2010,7))
+ window(CreditSpread.TS,start=c(1986,2),end=c(2010,7)) +
window(NAPM.TS,start=c(1986,2),end=c(2010,7))
+ window(MCOILWTI.TS,start=c(1986,2),end=c(2010,7))
, family=binomial(link="probit"))
predict(recession.probModel,window(full.TS,start=c(2010,8)),
type="response")
The GLM model works fine, but the predict function throws the following
error:
Error in window.default(FEDFUNDS.TS, start = c(1986, 2), end = c(2010, :
'start' cannot be after 'end'
In addition: Warning message:
In window.default(FEDFUNDS.TS, start = c(1986, 2), end = c(2010, :
'end' value not changed
Can someone let me know why I am getting this error and what to do about it?
Thanks, Bryson
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