Have you considered "arima" and "predict.Arima"?
spencer graves Renuka Sane wrote: > I am trying to do a forecasting exercise for a series, x. My forecast > model consists of the following > > I first regress log(x) on time and dummy variables for each month. > lm(log(x) ~ time + monthly dummies) > I then use predict() to obtain a prediction for the next year. > > I then fit an AR(6)/AR(12) model on the residuals of the regression. > I use predict() here also to obtain the prediction for the next year > > My final forecast is the sum of the two predictions i.e. predict.lm > (from the regression, interval="prediction") and p$pred (from the AR > model). I then take the exp(of the sum) to plot it against my orginal > time series. (I assume that the Cov(x,y)=0 and therefore take the exp(sum)). > > I now want to draw a confidence interval for my forecast. I realise that > I will have to add the standard errors from both the regression and the > AR() model to obtain the final standard error after which I will > calculate the confidence interval. I realise that I cannot just add the > two standard errors and take the exp() as in the case of the forecast. > My question is the following > > Can someone help me to obtain the standard error for the final series? > How do I incorporate the SEs from the AR model? Or is there some other way I > can > calculate the confidence interval? > > I know that if in predict.lm() I use interval="prediction", I get the > prediction interval for the yhat. However this is for the regression of > log(x) on time and monthly dummies. I can make an interval using p$pred > +-1.96*p$se from the AR model. Again this is for log(x). How can I use these > two to obtain the final interval for x as opposed to log(x)? > > Thanks, > > -- > Renuka Sane > > [[alternative HTML version deleted]] > > ______________________________________________ > 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 -- Spencer Graves, PhD Senior Development Engineer PDF Solutions, Inc. 333 West San Carlos Street Suite 700 San Jose, CA 95110, USA [EMAIL PROTECTED] www.pdf.com <http://www.pdf.com> Tel: 408-938-4420 Fax: 408-280-7915 ______________________________________________ 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