time series - Defining 'newxreg' argument correctly in the predict() function in R - ARIMA forecasting with tsoutliers

Question

so I have a dataset Y which I have split into a training and test data set. I have used the tsoutliers function tso() to fit a model to my training data which consists of an AR(3) process plus 15 other variables (mostly additive outliers). Now I want to make a one step ahead forecast (for comparison purposes against the test data). However I cannot seem to get the function predict() to work properly because I get the error

Error in predict.Arima(model$fit, n.ahead = 15, newxreg = newxreg) : 
  'xreg' and 'newxreg' have different numbers of columns

I cannot seem to pass the correct newxreg values. If anyone can help it would be much appreciated. My code so far is below:

train_date <- floor(length(Y)*0.7)
test_date <- train_date + 1
train <- Y[1:train_date, ]
test <- Y[test_date:nrow(Y), ]
test <- ts(test)
train <- ts(train)

model <- tso(train,  types = c("AO", "LS", "TC"),tsmethod = c("arima"),cval = 3.5 ,args.tsmethod = list(order =c(3,0,0))) 
print(model)

Output:

Coefficients:
         ar1     ar2     ar3  intercept        TC7      TC87      AO99     AO106     AO121
      0.6449  0.1481  0.1380   927.3582  -5872.039  5778.603  7721.161  4723.200  5410.631
s.e.  0.0322  0.0379  0.0316   708.8306   1513.531  1515.876  1319.987  1322.358  1314.757
          AO373      AO449     AO468      AO470      AO485     AO491      AO499      AO832
      -4794.655  -4887.083  6674.346  -5842.650  -6917.341  4742.169  -5860.072  -5676.016
s.e.   1314.112   1315.353  1321.769   1317.862   1322.005  1318.003   1317.519   1319.347
         TC856      TC871
      8508.164  -6165.617
s.e.  1519.721   1510.382

sigma^2 estimated as 2515630:  log likelihood = -8885.52,  aic = 17811.03

Outliers:
   type ind time coefhat  tstat
1    TC   7    7   -5872 -3.880
2    TC  87   87    5779  3.812
3    AO  99   99    7721  5.849
4    AO 106  106    4723  3.572
5    AO 121  121    5411  4.115
6    AO 373  373   -4795 -3.649
7    AO 449  449   -4887 -3.715
8    AO 468  468    6674  5.050
9    AO 470  470   -5843 -4.433
10   AO 485  485   -6917 -5.232
11   AO 491  491    4742  3.598
12   AO 499  499   -5860 -4.448
13   AO 832  832   -5676 -4.302
14   TC 856  856    8508  5.599
15   TC 871  871   -6166 -4.082

Trying to predict 1 step ahead.

npred <- 1
newxreg <- outliers.effects(model$outliers, length(train) + npred)
newxreg <- ts(newxreg[-seq_along(train),])
print(newxreg)
p <- predict(model$fit, n.ahead=npred, newxreg=newxreg)

When I run this last line of code, I get the error.

My newxreg output:

Time Series:
Start = 1 
End = 15 
Frequency = 1 
          TC7          TC87          AO99         AO106         AO121         AO373 
2.106348e-156 5.196214e-144  0.000000e+00  0.000000e+00  0.000000e+00  0.000000e+00 
        AO449         AO468         AO470         AO485         AO491         AO499 
 0.000000e+00  0.000000e+00  0.000000e+00  0.000000e+00  0.000000e+00  0.000000e+00 
        AO832         TC856         TC871 
 0.000000e+00  6.843752e-25  1.441530e-22 

I've only been using R for a couple of days, so I apologise if the code is poorly written.

Answer 1

等待大神答复