Displaying 4 results from an estimated 4 matches for "horizonforecasts".
2004 Sep 14
1
rolling n-step predictions for ARIMA models
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
2005 Aug 16
0
vector autoregression
dear All,
I have the following problem: I need to calculate an h-step ahead forecast
from a var model (estimated with a dse1 method estVARXls), which in
turn will be used as an input for another model as conditioning data, so
I need it as a simple, numeric matrix. No exogenous input is used.
However, the standard forecast method produces a 1-element list
that includes a forecast matrix, yet I
2009 Nov 27
0
VAR forecasts and out-of-sample prediction
...es)
Then the tricky part: I want to estimate the betas for January 2004, March
2004 and January 2005 (that is, 1-3-12 months horizon). BUT, when estimating
March 2004, I just want March 2004, and not also again January 2004 and
February 2004. Same thing for January 2005. I tried to use the function
horizonForecasts but it seems not working properly. Then, I want to compare
the forecasts with the actual betas in order to get RMSE and MAE. So I tried
the following:
betas[241,]-pr$forecast
error
BETA[241,]-pr$forecast
non-numeric argument to binary operator
BETAS[241,]-pr$forecast
incorrect number of dimensions...
2002 Dec 06
3
ts startdate
Dear R-users,
I am facing a trivial problem when trying to parameterise the start date
of a time series object. I am working with monthly data (104) performing
n-steps-ahead (6) forecasts and using a fixed window size (36). At the
end of calculations I have a list that contains 69 forecasts.
I have no problems in fixing the window size by parametrization, e.g.
k<- control variable in a for