Hi Guys
I have a time series regression like so :-
dlmres <- dynlm(dusage ~ L(dusage, 1:5))
The regression output is shown below :-
Time series regression with "ts" data:
Start = 6, End = 364
Call:
dynlm(formula = dusagets ~ (L(dusagets, 1:5)))
where dusage refers to the first difference series of the usage series.
Residuals:
Min 1Q Median 3Q Max
-6915.9 -748.9 20.7 822.1 6099.6
Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) -41.24158 88.26414 -0.467 0.640608
L(dusagets, 1:5)1 -0.19753 0.05231 -3.776 0.000187 ***
L(dusagets, 1:5)2 -0.43436 0.05311 -8.179 5.22e-15 ***
L(dusagets, 1:5)3 -0.15207 0.05729 -2.654 0.008305 **
L(dusagets, 1:5)4 -0.14216 0.05292 -2.687 0.007561 **
L(dusagets, 1:5)5 -0.17909 0.05243 -3.415 0.000711 ***
---
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
Residual standard error: 1671 on 353 degrees of freedom
Multiple R-squared: 0.1858, Adjusted R-squared: 0.1743
F-statistic: 16.11 on 5 and 353 DF, p-value: 2.602e-14
The fitted values from this regression is for the first difference series. I tried to calculate the level fitted values using the cumsum() function in R. The fitted values start from 7th observation as 6 observations are lost from 5 lags of the difference series. The attached file shows a small subset of observed, fitted values from R and computed level fitted values
For example, to calculate the fitted level value for interval 10
L1Fitted_Int10 <- cumsum(7 : 10) + usage[6]
L1Fitted_Int11 <- cumsum(7 : 11) + usage[6]
L1Fitted_Int12 <- cumsum(7 : 12) + usage[6]
L1Fitted_Int13 <- cumsum(7 : 13) + usage[6]
Going down to interval 210 and beyond, the level fitted values seem to diverge massively from the actual usage values. I am presuming that this is because something doesn't appear to be correct in my computation using the cumsum() function + usage[6] value
I tested with the actual usage values and it works perfectly for every single value.
Can some one help me identify where am I going wrong in my computation.
Best regards
Deepak
Data_For_Nabble.TXT
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