See ?rollapply in the zoo package. On Thu, May 6, 2010 at 6:20 PM, Dipankar Basu <basu...@gmail.com> wrote: > Hi All, > > I am using R 2.11.0 on a Ubuntu machine. I have a time series data set and > want to run rolling regressions with it. Any suggestions would be useful. > > Here are the details: > > (1) I convert relevant variables into time series objects and compute first > differences: > > vad <- ts(data$ALLGVA/data$GDPDEF, start=1948, frequency=1) > emp <- ts(data$ALLEMP, start=1948, frequency=1) > vad.dif1 <- diff(vad) > emp.dif1 <- diff(emp) > > (2) I make a data set: > > d <- > ts.union(emp.chng=emp.dif1,lag.emp.chng=lag(emp.dif1,-1),twolag.emp.chng=lag(emp.dif1,-2), > > vad.chng=vad.dif1,lag.vad.chng=lag(vad.dif1,-1),twolag.vad.chng=lag(vad.dif1,-2)) > > (3) I run regressions: > > reg2 <- lm(emp.chng~vad.chng+lag.vad.chng+lag.emp.chng, data=d) > > What I would like to do is to run this regression with a 10 year moving > window. So, the first regression should use data from 1948-58, the second > from 1949-59 and so on.. the last should use data from 1999-2009. Any > suggestions? > > Deepankar
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