(My apologies if this is a repeated posting. I couldn't find any trace of my previous attempt in the archive.)
I'm having trouble with forecast() in the dse2 package. It works fine for me on a model without a trend, but gives me NaN output for the forecast values when using a model with a trend. An example: # Set inputs and outputs for the ARMA model fit and test periods arma.fit.input <- c(105.3332, 105.3573, 105.3113, 105.1493, 105.1209, 105.2111, 104.9161, 105.3654, 105.4682, 105.6789, 105.6297, 106.0155, 105.8454, 105.4322, 105.6062, 106.0739, 106.1109, 105.4470, 104.9739, 105.3427, 105.4305, 105.2563, 104.8501, 105.0358, 105.2827, 104.8977) arma.fit.output <- c(106.0376, 106.0514, 106.0716, 106.0570, 106.0442, 106.0414, 106.0375, 106.0169, 106.0268, 106.0670, 106.1169, 106.1544, 106.1898, 106.2252, 106.2605, 106.2959, 106.3324, 106.3974, 106.3460, 106.2357, 106.1897, 106.1811, 106.1556, 106.1130, 106.0805, 106.0791) arma.pred.input <- c(104.9916, 104.8207, 104.8936, 104.8767, 104.9435, 104.8885, 104.9217, 104.9029, 104.9508, 105.0065, 105.0557, 105.1982, 105.3392, 105.4007, 105.6212, 105.5979, 105.2410, 105.4832, 105.8735, 105.5944, 105.1063, 104.9809, 105.0821, 104.9362, 105.3037, 105.2322) arma.pred.output <- c(106.0528, 106.0293, 106.0053, 105.9850, 105.9697, 105.9604, 105.9509, 105.9430, 105.9357, 105.9314, 105.9333, 105.9420, 105.9640, 105.9994, 106.0290, 106.0855, 106.1265, 106.1197, 106.1245, 106.1893, 106.2118, 106.1503, 106.0883, 106.0511, 106.0194, 106.0221) # Set TSdata object arma.fit.TSdata <- TSdata(input = arma.fit.input, output = arma.fit.output) # Fit the model arma.model.without.trend <- estVARXls(arma.fit.TSdata, max.lag=1, trend=F) arma.model.with.trend <- estVARXls(arma.fit.TSdata, max.lag=1, trend=T) # Apply the model for the test period arma.pred.TSdata <- TSdata(input = arma.pred.input, output = arma.pred.output[1:2]) arma.pred.without.trend <- forecast(TSmodel(arma.model.without.trend), arma.pred.TSdata) arma.pred.with.trend <- forecast(TSmodel(arma.model.with.trend), arma.pred.TSdata) The results: > arma.pred.without.trend$forecast[[1]][,1] [1] 106.0038 105.9789 105.9605 105.9396 105.9224 105.9052 105.8926 105.8849 [9] 105.8812 105.8880 105.9043 105.9240 105.9579 105.9878 105.9901 106.0095 [17] 106.0555 106.0782 106.0644 106.0427 106.0297 106.0072 106.0126 106.0125 > arma.pred.with.trend$forecast[[1]][,1] [1] 5.76056e+228 NaN NaN NaN NaN [6] NaN NaN NaN NaN NaN [11] NaN NaN NaN NaN NaN [16] NaN NaN NaN NaN NaN [21] NaN NaN NaN NaN I read help on this function and the PDF manuals but can't see what I might be missing. Any ideas? Thanks, Sott Waichler Pacific Northwest National Laboratory [EMAIL PROTECTED] ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html