Thanks. On Thu, May 6, 2010 at 7:49 PM, Gabor Grothendieck <ggrothendi...@gmail.com>wrote:
> 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 > [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.