ecmpredict: Predict using an ecm object

In ecm: Build Error Correction Models

Predict using an ecm object

Description

Takes an ecm object and uses it to predict based on new data. This prediction does the undifferencing required to transform the change in y back to y itself.

Usage

ecmpredict(model, newdata, init)

Arguments

model	ecm object used to make predictions
newdata	Data frame to on which to predict
init	Initial value(s) for prediction

Details

Since error correction models only model the change in the target variable, an initial value must be specified. Additionally, the 'newdata' parameter should have at least 3 rows of data.

Value

Numeric predictions on new data based ecm object

Examples

##Not run

data(Wilshire)

#Rebuilding model1 from ecm example
trn <- Wilshire[Wilshire$date<='2015-12-01',]
xeq <- xtr <- trn[c('CorpProfits', 'FedFundsRate', 'UnempRate')]
model1 <- ecm(trn$Wilshire5000, xeq, xtr)
model2 <- ecm(trn$Wilshire5000, xeq, xtr, linearFitter='earth')

#Use 2015-12-01 and onwards data as test data to predict
tst <- Wilshire[Wilshire$date>='2015-12-01',]

#predict on tst using model1 and initial FedFundsRate
tst$model1Pred <- ecmpredict(model1, tst, tst$Wilshire5000[1])
tst$model2Pred <- ecmpredict(model2, tst, tst$Wilshire5000[1])

ecm documentation built on May 29, 2024, 8:12 a.m.