[R] forecast & xreg

From: Vorlow Constantinos <CVorlow_at_eurobank.gr>
Date: Tue, 08 Jul 2008 13:36:28 +0300

Dear all,  

I am fitting an arimax (arima with some extra explanatory variables) model to a time series. Say, I have a Y (dependent variable) and an X (explanatory).

Y is 100 observations (time series) and X is 100 + 20 (20 to use for the forecast horizon).  

I can not make xreg work with the forecast function for an arima fit.

The "predict" function seems to be working but the "forecast" returns  

> Error in predict.Arima(object, n.ahead = h) : 'xreg' and 'newxreg'
have different numbers of columns...  

Xreg is a time series of explanatory variables of the same length of the dependent and newxreg should be as long as the forecast horizon (same number of explanatory variables). Is this right?  

Or should xreg be: X[1:100] and newxreg X[101:20], i.e. use different segments of the same regressor ???  

In other words, can/should newxreg and xreg be different variables as long as their lengths are according to the forecast horizon specs? This doesn't seem to work...  

Any scripts/demos would be extremely welcome.  



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