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.