[R] rolling n-step predictions for ARIMA models

Michael Roberts MROBERTS at ers.usda.gov
Wed Sep 15 00:35:18 CEST 2004


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 package/function that does this that I 
cannot find?


Michael J. Roberts

Resource Economics Division
Production, Management, and Technology
(202) 694-5557 (phone)
(202) 694-5775 (fax)

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