[R-SIG-Finance] best method for rolling forecast based on linear fit

[Gabor Grothendieck]

Look at ?arima and note the xreg= argument.  Also ?predict.arima
and note the n.ahead= argument.

On 8/16/07, John Putz <johnputz3655 at yahoo.com> wrote:
> Hello,
>
> A basic question.  Can anybody point me towards the best method to use to perform a rolling 1 step ahead forecast of a price series based on a rolling N day linear fit?  I believe I used the dse package in the past, but my recollection is it was somewhat cumbersome.
>
> Thanks, John.
>        [[alternative HTML version deleted]]
>
> _______________________________________________
> R-SIG-Finance at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only.
> -- If you want to post, subscribe first.
>