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
>
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