inst/doc/basic_introduction.R

In OOS: Out-of-Sample Time Series Forecasting

## ---- include = FALSE---------------------------------------------------------
knitr::opts_chunk$set(
  collapse = TRUE,
  comment = "#>"
)

## ----setup, include=FALSE, warning = FALSE, message = FALSE, results = 'hide'----
knitr::opts_chunk$set(echo = TRUE)

## -----------------------------------------------------------------------------
library(OOS)

## -----------------------------------------------------------------------------
# pull and prepare data from FRED
quantmod::getSymbols.FRED(
	c('UNRATE','INDPRO','GS10'), 
	env = globalenv())
Data = cbind(UNRATE, INDPRO, GS10)
Data = data.frame(Data, date = zoo::index(Data)) %>%
	dplyr::filter(lubridate::year(date) >= 1990) %>% 
  na.omit()

# make industrial production and 10-year Treasury stationary
Data = Data %>%
  dplyr::mutate(
    GS10 = GS10 - dplyr::lag(GS10), 
    INDPRO = (INDPRO - lag(INDPRO, 12))/lag(INDPRO, 12)) 

# start data when all three variables are available
# (this is not necessary, but it will suppress warnings for us)
Data = dplyr::filter(Data, date >= as.Date('1954-01-01'))

## ---- warning=FALSE-----------------------------------------------------------
# run univariate forecasts 
forecast.uni = 
	forecast_univariate(
		Data = dplyr::select(Data, date, UNRATE),
		forecast.dates = tail(Data$date,5), 
		method = c('naive'), #,'auto.arima', 'ets'),      
		horizon = 1,                         
		recursive = FALSE,      
		rolling.window = NA,    
		freq = 'month')

## ---- warning=FALSE-----------------------------------------------------------
# create multivariate forecasts
forecast.multi = 
	forecast_multivariate(
		Data = Data,           
		forecast.date = tail(Data$date,5),
		target = 'UNRATE',
		horizon = 1,
		method = c('lasso'),       
		rolling.window = NA,    
		freq = 'month')

## ---- warning=FALSE-----------------------------------------------------------
# combine forecasts and add in observed values
forecasts = 
	dplyr::bind_rows(
		forecast.uni,
		forecast.multi) %>%
	dplyr::left_join( 
		dplyr::select(Data, date, observed = UNRATE),
		by = 'date')

# forecast combinations 
forecast.combo = 
	forecast_combine(
		forecasts, 
		method = c('uniform','median','trimmed.mean'))

## ---- warning=FALSE-----------------------------------------------------------
# merge forecast combinations back into forecasts
forecasts = 
	forecasts %>%
	dplyr::bind_rows(forecast.combo)

# calculate forecast errors
forecast.error = forecast_accuracy(forecasts)

# view forecast errors from least to greatest 
#   (best forecast to worst forecast method)
forecast.error %>% 
	dplyr::mutate_at(vars(-model), round, 3) %>%
	dplyr::arrange(MSE)

# compare forecasts to the baseline (a random walk)
forecast_comparison(
	forecasts,
	baseline.forecast = 'naive',  
	test = 'ER',
	loss = 'MSE') %>% 
	dplyr::arrange(error.ratio)

# chart forecasts
chart = 
	chart_forecast(
		forecasts,              
		Title = 'US Unemployment Rate',
		Ylab = 'Index',
		Freq = 'Monthly')