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

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