The R package dlm implements filtering and smoothing (
dlmSmooth) for models with regression effects, but forecasting is not (yet) available for these models:
mod <- dlmModSeas(4)+dlmModReg(cbind(rnorm(100),rnorm(100))) fi <- dlmFilter(rnorm(100),mod) f <- dlmForecast(fi,nAhead=12) Error in dlmForecast(fi, nAhead = 12): dlmForecast only works with constant models
How can I do this in R?
Thanks for your help!