Hi Michael, Many thanks for your reply.
I am handicapped in 2 different areas; firstly R and most importantly statistical concepts! May I ask you to expand on the 2nd paragraph of your reply below. I was originally using dynlm but then changed back to lm to avoid complication. Also, what do you mean by: "You probably need to use a time series model that has forecasting built into it..." Many thanks, Darius > From: michael.weyla...@gmail.com > Date: Mon, 3 Oct 2011 13:16:47 -0400 > Subject: Re: [R] rolling regression > To: xeno...@hotmail.com > CC: r-help@r-project.org > > It seems you don't really know how predict works. If you don't supply > new data, it will only return the least squares fit to the old data, > which is the large data block you saw. Check the first example given > in ?predict to see how this works for new (out of sample) data. > > More importantly, use of lm() gives a model for contemporaneous > fitting of your data to cash_ret. You probably need to use a time > series model that has forecasting built into it (unless you can > somehow your independent variables before your dependent variables) > > Michael Weylandt > > On Sun, Oct 2, 2011 at 11:41 PM, Darius H <xeno...@hotmail.com> wrote: > > > > Dear all, > > > > I have spent the last few days on a seemingly simple and previously > > documented rolling regression. > > > > I have a 60 year data set organized in a ts matrix. > > The matrix has 5 columns; cash_ret, epy1, ism1, spread1, unemp1 > > > > I have been able to come up with the following based on previous help > > threads. It seems to work fine. > > The trouble is I get regression coefficients but need the immediate next > > period forecast. > > > > cash_fit= rollapply(cash_data, width=60, > > > > function(x) coef(lm(cash_ret~epy1+ism1+spread1+unemp1, data = > > as.data.frame(x))), > > > > by.column=FALSE, align="right"); cash_fit > > > > > > I tried to replace "coef" above to "predict" but I get a whole bunch of > > results too big to be displayed. I would be grateful > > if someone could guide me on how to get the next period forecast after each > > regression. > > > > If there is a possibility of getting the significance of each regressor and > > the standard error in addition to R-sq > > without having to spend the next week, that would be helpful as well. > > > > Many thanks, > > Darius > > > > > > > > > > > > [[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. > > [[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.
