tsCV with xreg

tscv-xreg.R

library(forecast)

fc <- function(y, h, xreg, newxreg) {
  fit <- auto.arima(y, xreg=xreg)
  forecast(fit, xreg=newxreg, h=h)
}

y <- ts(rnorm(100))
x <- matrix(ts(rnorm(100)),ncol=1)
tsCV(y, fc, xreg=x, h=1)

For a linear model, use tslm, not lm.

Dear Rob,
I am doing multi step ahead ex-ante forecast with a model with explanatory variables, for instance if its a 7 days ahead forecast of Y, I need to have 1 to 7 days forecast of X to be used recursively in 1 to seven days forecast of Y. I use a modified version of tscv that allows to have xreg_actual and xreg_forecast, then I use these codes:

far <- function(x, h, xreg, newxreg) {
forecast(Arima(x, order=c(0,0,0), xreg=xreg), xreg=newxreg)
}

xreg_actual <- data.frame(X1=X1_actual,)
xreg_forecast <- data.frame(X1=X1_onestep, X1=X1_twostep,....., X1=X7_sevenstep)

So xreg_actual includes the actual values of X1 and xreg_forecast includes X1_onestep to X7_sevenstep, which are forecasted values of X1 for the validation and test period, and are obtained from another tscv forecast. What I expect is that, each of the elements of xreg_forecast dataframe to be used in forecasting y from one to seven step ahead. for example if h=7, the tscv starts from h=1 and then recursively reaches to h=7, and I want X1_onestep to be used in h=1, X2_twostep to be used in h=2 and so on....
So, I made the following loop:

for (i in 1:ncol(xreg_forecast) {
error[[i]]<- data.frame(mytsCV(y, far, h=7, window = 365, initial =10, xreg_actual=xreg_actual,
xreg_forecast=xreg_forecast[[i]]))
}

the loop is generating the errors as it should be, however, I am not sure if the loop is atually doing what I aimed to.
Also Im not sure how can I extend the loop for models with more than one explanatory variables.
Any help is highly appriciated.
Thanks