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是否有使用一年滚动窗口执行 OLS 的特定方法?例如:

训练集:1970-1990,测试集:1991

训练集:1970-1991,测试集:1992

. . .

训练集:1970-2009,测试集:2010

我尝试执行以下操作,但我有一个巨大的数据框,所以它不起作用。

for i in range(1989, 2010):
    print(i)
    train = df[df['year'] <= i]
    test = df[df['year'] == i+1]
    x_train = train[train_columns]
    y_train = train[column]
    x_test = test[train_columns]
    y_test = test[column]
    model = sm.OLS(y_train, x_train) #missing = "drop"
    results = model.fit()
    y_pred = results.predict(x_test)
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