I wrote a function for iteratively predicting models built using the dyn package, and I would like to get some feedback from it. Is there a better way to do this? Has someone written canonical "predictive" methods for the dyn class (or the dynlm class), or am I going to unregistered territory here?
ipredict <-function(model, newdata, interval = "none",
level = 0.95, na.action = na.pass, weights = 1) {
P<-predict(model,newdata=newdata,interval=interval,
level=level,na.action=na.action,weights=weights)
for (i in seq(1,dim(newdata)[1])) {
if (is.na(newdata[i])) {
if (interval=="none") {
P[i]<-predict(model,newdata=newdata,interval=interval,
level=level,na.action=na.action,weights=weights)[i]
newdata[i]<-P[i]
}
else{
P[i,]<-predict(model,newdata=newdata,interval=interval,
level=level,na.action=na.action,weights=weights)[i,]
newdata[i]<-P[i,1]
}
}
}
P_end<-end(P)[1]*frequency(P)+(end(P)[2]-1)
P<-window(P,end=P_end-1*frequency(P))
return(P)
}
Usage example:
library(dyn)
y<-arima.sim(model=list(ar=c(.9)),n=10)
A<-rnorm(10)
B<-rnorm(10)
C<-rnorm(10)
Error<-rnorm(10)
y<-y+.5*A+.2*B-.3*C+.1*Error
data=cbind(y,A,B,C)
model.dyn<-dyn$lm(y~A+B+C+lag(y,-1),data=data)
summary(model.dyn)
A<-c(A,rnorm(5))
B<-c(B,rnorm(5))
C<-c(C,rnorm(5))
y=window(y,end=end(y)+c(5,0),extend=TRUE)
newdata<-cbind(y,A,B,C)
P1<-ipredict(model.dyn,newdata)
P2<-ipredict(model.dyn,newdata,interval="prediction")
plot(y)
lines(P1,col=2)