[R] Kalman Filter Forecast using 'SSPIR'

From: Sumanta Basak <sumantab_at_ambaresearch.com>
Date: Thu 15 Dec 2005 - 00:05:01 EST


Dear R Users,  

                      I am new to state-space modeling. I am using SSPIR
package for Kalman Filter. I have a data set containing one dependent variable and 7 independent variables with 250 data points. I want to use Kalman Filter for forecast the future values of the dependent variable using a multiple regression framework. I have used ssm function to produce the state space (SS) object, but I am bit confused that how can I predict the future values.  

Thanks a lot in advance.    

SUMANTA BASAK.



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