What I want R to do is to use the estimated Y at t-1 to be the lag(Y,-1) in
the forecast equation for time t. Is there anyway I can realize this with R?
For example, when the Y value for year 18 is forecast, the estimated Y for
year 17 is used, not the actual Y for year 17 already in the data.
Thanks for you patience. I appreciate it.
Harry



On Thu, Jul 23, 2009 at 5:44 PM, Gabor Grothendieck <ggrothendieck@gmail.com
> wrote:

> You can't remove Y since its in the rhs of your model.
>
> On Thu, Jul 23, 2009 at 8:25 PM, Hongwei Dong<pdxdong@gmail.com> wrote:
> > Thanks, Gabor. Here are the problems I'm trying to solve.
> > FIRST, I run this to simulate a 20 years time series process. The data
> from
> > 1-15 years are used to estimate the model, and this model is used to
> predict
> > the year from 16-20. The following script works.
> > set.seed(123)
> > tt <- ts(cbind(Y = 1:20, x = rnorm(20), z = rnorm(20)))
> > L <- function(x, k = 1) lag(x, -k)
> > tt.zoo <- as.zoo(tt)
> > fit <- dyn$lm(Y ~ L(Y) + z + L(x, 0:1), tt.zoo[(1:15), ])
> > fit
> > pred <- predict(fit, tt.zoo[(16:20),])
> > pred
> > SECONDLY, I use similar script, but pretend that we do not know the Y
> data
> > from year 16-20. We know x and z for year 16-20, and use them predict Y
> > based on the model estimated from 1-15 years. So, in the "newdata" part,
> I
> > use tt.zoo[(16:20), (2:3)] to remove the Y out. here is the script.
> > Unfortunately, it does not work in that way.
> > pred1 <- predict(fit, tt.zoo[(16:20),(2:3)])
> > pred1
> > It will be greatly appreciated if you can give me some guide on this.
> > Thanks.
> > Harry
> >
> >
> >
> >
> >
> >
> > On Wed, Jul 22, 2009 at 10:04 PM, Gabor Grothendieck
> > <ggrothendieck@gmail.com> wrote:
> >>
> >> Use dyn.predict like this:
> >>
> >> > library(dyn)
> >> > x <- y <- zoo(1:5)
> >> > mod <- dyn$lm(y ~ lag(x, -1))
> >> > predict(mod, list(x = zoo(6:10, 6:10)))
> >>  7  8  9 10
> >>  7  8  9 10
> >>
> >>
> >> On Thu, Jul 23, 2009 at 12:54 AM, Hongwei Dong<pdxdong@gmail.com>
> wrote:
> >> > I have a dynamic time series model like this:
> >> > dyn$lm( y ~ lag(y,-1) + x + lag(x,-1)+lag(x,-2) )
> >> >
> >> > I need to do an out of sample forecast with this model. Is there any
> way
> >> > I
> >> > can do this with R?
> >> > It would be greatly appreciated if some one can give me an example.
> >> > Thanks.
> >> >
> >> >
> >> > Harry
> >> >
> >> >        [[alternative HTML version deleted]]
> >> >
> >> > ______________________________________________
> >> > R-help@r-project.org mailing list
> >> > https://stat.ethz.ch/mailman/listinfo/r-help
> >> > PLEASE do read the posting guide
> >> > http://www.R-project.org/posting-guide.html
> >> > and provide commented, minimal, self-contained, reproducible code.
> >> >
> >
> >
>

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