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st: Predict after arima, forecasting how to??
Hello,
I am working with 2 time series X and Y. I have smoothed both series
and this has automatically filled in time series gaps.
After exploratory analysis I have found D.X and D.Y to be stationary.
Also my hypothesis is that Y lags behind X by a variable time period
most often 21 to 42 days. I have found this to be true by visual
inspection of L(21/42).X vs. Y. Also the cross-correlelograms comfirm
this.
I am now experimenting with fitting arima(1,0,1) models to D.Y and D.X.
I am using predict, y to get predictions for the non diffrenced series.
Can someone tell me how I can obtain forecasts for 14 day intervals, not
one step forecasts?
IS there any other flaw in the methodology used above.
Thanks
A K Gupta, MD MPH
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