On Mon, Jul 24, 2017 at 1:10 PM, Ed Herranz <

[hidden email]> wrote:

> Hi Amol,

>

> My guess is that you can't use lm() directly on xts objects. See this:

>

>

https://stackoverflow.com/questions/21692560/linear-regression-with-xts-object>

Bad guess. :)

library(xts)

data(sample_matrix)

xtsObject <- as.xts(sample_matrix)

xtsObject$t <- seq_len(nrow(xtsObject))-1

lm(Open ~ t, data=xtsObject)

> Regards,

> -Ed

>

> On Sun, Jul 16, 2017 at 4:31 PM, amol gupta <

[hidden email]> wrote:

>

>> Hi

>>

>> I am most likely committing an error in trying to predict using linear

>> regression lm model. please help me figure out what am I doing wrong. I am

>> trying to regress a index and its constituents. Here is the code

>>

>>

>> #split ts inttwo parts

>> a<-300;

>>

>> x1<-x[1:a,];

>> y1<-y[1:a,];

>>

>> x2<-x[(a+1):nrow(x),];

>> y2<-y[(a+1):nrow(y),];

>>

>>

>> #regression

>> m1<-lm( y1~x1)

>> r1<-residuals(m1)

>> coef(m1)

>>

>> ##out of sample

>> y_hat<-predict.lm(m1,x2);

>> r2<-y_hat-y2;

>>

>>

>> x,y are xts. X contains multiple time series. The y_ hat turns out to be of

>> 300 samples only, whereas x2 contains 1400 samples.

>>

>> Please help me figure out how to predict using model that I have found

>> using regression.

>>

It's very difficult to help if you do not provide a reproducible

example. Most people do not have, and will not spend, the time it

takes to imagine and create data required to reproduce the issue you

describe.

Please see:

https://stackoverflow.com/q/5963269/271616>>

>> --

>> Regards

>> Amol

>> +91-9897860992

>> +91-8889676918

>>

>> [[alternative HTML version deleted]]

>>

>> _______________________________________________

>>

[hidden email] mailing list

>>

https://stat.ethz.ch/mailman/listinfo/r-sig-finance>> -- Subscriber-posting only. If you want to post, subscribe first.

>> -- Also note that this is not the r-help list where general R questions

>> should go.

>>

>

> [[alternative HTML version deleted]]

>

> _______________________________________________

>

[hidden email] mailing list

>

https://stat.ethz.ch/mailman/listinfo/r-sig-finance> -- Subscriber-posting only. If you want to post, subscribe first.

> -- Also note that this is not the r-help list where general R questions should go.

--

Joshua Ulrich | about.me/joshuaulrich

FOSS Trading | www.fosstrading.com

R/Finance 2017 | www.rinfinance.com

On Mon, Jul 24, 2017 at 1:10 PM, Ed Herranz <

[hidden email]> wrote:

> Hi Amol,

>

> My guess is that you can't use lm() directly on xts objects. See this:

>

>

https://stackoverflow.com/questions/21692560/linear-regression-with-xts-object>

> Regards,

> -Ed

>

> On Sun, Jul 16, 2017 at 4:31 PM, amol gupta <

[hidden email]> wrote:

>

>> Hi

>>

>> I am most likely committing an error in trying to predict using linear

>> regression lm model. please help me figure out what am I doing wrong. I am

>> trying to regress a index and its constituents. Here is the code

>>

>>

>> #split ts inttwo parts

>> a<-300;

>>

>> x1<-x[1:a,];

>> y1<-y[1:a,];

>>

>> x2<-x[(a+1):nrow(x),];

>> y2<-y[(a+1):nrow(y),];

>>

>>

>> #regression

>> m1<-lm( y1~x1)

>> r1<-residuals(m1)

>> coef(m1)

>>

>> ##out of sample

>> y_hat<-predict.lm(m1,x2);

>> r2<-y_hat-y2;

>>

>>

>> x,y are xts. X contains multiple time series. The y_ hat turns out to be of

>> 300 samples only, whereas x2 contains 1400 samples.

>>

>> Please help me figure out how to predict using model that I have found

>> using regression.

>>

>>

>> --

>> Regards

>> Amol

>> +91-9897860992

>> +91-8889676918

>>

>> [[alternative HTML version deleted]]

>>

>> _______________________________________________

>>

[hidden email] mailing list

>>

https://stat.ethz.ch/mailman/listinfo/r-sig-finance>> -- Subscriber-posting only. If you want to post, subscribe first.

>> -- Also note that this is not the r-help list where general R questions

>> should go.

>>

>

> [[alternative HTML version deleted]]

>

> _______________________________________________

>

[hidden email] mailing list

>

https://stat.ethz.ch/mailman/listinfo/r-sig-finance> -- Subscriber-posting only. If you want to post, subscribe first.

> -- Also note that this is not the r-help list where general R questions should go.

--

Joshua Ulrich | about.me/joshuaulrich

FOSS Trading | www.fosstrading.com

R/Finance 2017 | www.rinfinance.com

_______________________________________________

[hidden email] mailing list

https://stat.ethz.ch/mailman/listinfo/r-sig-finance-- Subscriber-posting only. If you want to post, subscribe first.

-- Also note that this is not the r-help list where general R questions should go.