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200472
2010 Jul 28
2
Out-of-sample predictions with boosting model
...edictions of the model, estimated for each country separately. What I
would like to do is take this model and estimate it for each country using
some initial data. I.e., estimate Australia with 1986m1-2003m12, make
prediction about 2004m1, roll data forward. Estimate AUS with 1986m2-2004m1,
predict 2004m2, etc for all data points. Now do the same for Canada,
Denmark, etc.
So I guess my problem is twofold. 1) How to make these out-of-sample
predictions, by country, when my data has not been declared as time-series?
(I do not think that mboost can handle time-series data...x1 x2 and x3 have
been lagg...