Прогнозирование объекта упаковки динамака

Question

У меня есть модель ARDL с коинтеграцией, поэтому я использовал пакет "dynamac" в R. Мне нужно прогнозировать некоторые горизонты (разные в каждый момент времени). Когда я применяю функцию прогноза из пакета "прогноз", возникает ошибка из-за того, что "новые данные" не были импортированы.

ARDL_Model <- dynamac::dynardl(Y ~ X1 + X2 + X3 + X4 , data = My_Data,
                                   diffs = c("X1","X2", "X3","X4"),
                                   lagdiffs = list("X1" = c(1:5),"X2" = 1, "X3" = c(1:2), "X4" = c(1:2)), ec = TRUE, simulate = TRUE,shockvar = "X2", graph= TRUE)

forecast(All_ARDL_Model$model,h=1)#Horizon 1

Вывод R - (команда прогнозирования): ошибка в as.data.frame(newdata): отсутствует аргумент "newdata", по умолчанию нет

Answer 1

Perhaps I misunderstand your question, but your code already includes the relevant forecasting.

ARDL_Model <- dynamac::dynardl(Y ~ X1 + X2 + X3 + X4 , data = My_Data,
diffs = c("X1","X2", "X3","X4"),
lagdiffs = list("X1" = c(1:5), "X2" = 1, "X3" = c(1:2), "X4" = c(1:2)), 
ec = TRUE, simulate = TRUE, shockvar = "X2", graph= TRUE)

Will create a set of simulated results in ARDL_Model$simulate. ARDL_Model$simulate$central is the response of the dependent variable. At shocktime (since it isn't specified here will default to t = 10), X2 will be shocked by a standard deviation of its value (since shockval isn't specified). The other variables will be held at their means. So you will be able to forecast the response of the dependent variable, but will need to run a separate simulation (i.e. for each shockvar and shockval you'd like to forecast a response).

The vignette at https://cran.r-project.org/web/packages/dynamac/vignettes/dynamac-vignette.html might also be useful.