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gtrends_local
2010 Feb 07
1
Out-of-sample prediction with VAR
...terms of MAPE)? Shouldn't it at least predict just as well as the
simple AR(3) by finding that the extra variables have no added value?
My code:
ts_Y <- ts(log_residuals[1:104]); # detrended sales data
ts_XGG <- ts(salesmodeldata$gtrends_global[1:104]);
ts_XGL <- ts(salesmodeldata$gtrends_local[1:104]);
training_matrix <- data.frame(ts_Y, ts_XGG, ts_XGL);
### Try VAR(3)
var_model <- VAR (y=training_matrix, p=3, type="both", season=NULL,
exogen=NULL, lag.max=NULL);
## Out of sample forecasting
var.lm = lm(var_model$varresult$ts_Y); # the generated LM
ts_Y <...