[R] rolling n-step predictions for ARIMA models

Paul Gilbert pgilbert at bank-banque-canada.ca
Wed Sep 15 17:33:14 CEST 2004

There are functions in the dse bundle that do this. (See 
featherForecasts and horizonForecasts.) You might look through the 
users' guide to get an idea if they are exactly what you want.

Paul Gilbert

Michael Roberts wrote:

>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)
>R-help at stat.math.ethz.ch mailing list
>PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html

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