使用xreg进行滚动预测并进行重新估计

如何解决使用xreg进行滚动预测并进行重新估计

我尝试在重新估算的滚动预测中实现xreg。 不幸的是，我遇到了xreg长度的问题。

# sample data  
sample <- ts(rnorm(100,mean = 1000,sd=7),start = c(2012,1),end = c(2019,12),frequency = 12)
external <- ts(mtcars,frequency = 12)

#Define h --> One-step ahead (for a start,later to be increased)
h <- 1
#specify length to forecast
test  <- window(sample,start = c(2018,01),frequency = 12)
n <- length(test) - h + 1
#provide total length of regressors available
total_xreg <- ts(external[,c(1,2,3)],end= c(2019,frequency = 12)

#create empty matrix
fcmatx <- matrix(0,nrow=n,ncol=h)

# create loop
for(i in 1:n)
{  
# x is the target variable,provide training data 
  x <- window(sample,end= c(2017,12) + (i-1)/12)
# provide xregs for training data
  xregs <- window(total_xreg,end = c(2017,12) + (i-1)/12)
# provide new xregs for forecasting,assuming that xreg is available for the forecasting period
  xregs2 <- window(total_xreg,1) + (i-1)/12
# limit xregs2 to show only the first line since we are only forecasting 1 step in advance
 xregs3 <- xregs2[1,]
# create auto.arima model
  refit.multirex <- auto.arima(x,xreg = xregs)
# forecast using regressors
  fcmatx[i,] <- forecast(refit.multirex,h=h,xreg = xregs3
                         )$mean
}
fcmattsx <- ts(fcmatx,frequency = 12)

这将导致以下错误：

Error in forecast.forecast_ARIMA(refit.multirex,h = h,xreg = xregs3) : 
  Number of regressors does not match fitted model

h是长度1，而xregs是长度3，因为我要填写3个变量，但它们都只能使用一个时间段。我尝试了各种调整，但无法正确调整。

解决方法

以下一行

xregs3 <- xregs2[1,]

返回向量而不是矩阵。当您从矩阵中提取单个列或行时，这是R中的默认行为。更改为

xregs3 <- xregs2[1,drop=FALSE]

保留矩阵结构（1x3）。这样forecast()函数将不会返回错误。

在i=23时，您将得到一个不同的错误，因为在创建start时，您在end之后有xregs2。