Re: [R] Rolling Sample VAR

On 26.05.2012 07:34, bantex wrote: But after looking through rollapply I still don't seem to be able to implement it to my problem. Could you make it more explicit for me to understand? PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, min

Re: [R] Rolling Sample VAR

But after looking through rollapply I still don't seem to be able to implement it to my problem. Could you make it more explicit for me to understand? B -- View this message in context: http://r.789695.n4.nabble.com/Rolling-Sample-VAR-tp4631328p4631430.html Sent from the R help mailing list arc

Re: [R] Rolling Sample VAR

Hi. rollapply function for zoo package could be a useful here. library(zoo) ?rollapply Andrija On Fri, May 25, 2012 at 5:22 PM, bantex wrote: > hi guys, > > I am using trivariate VAR model to get 10 step ahead orthogonalized impulse > response functions. I want to use rolling sample analysis

[R] Rolling Sample VAR

hi guys, I am using trivariate VAR model to get 10 step ahead orthogonalized impulse response functions. I want to use rolling sample analysis on the coefficients of the irf but I have no idea how to do that. I looked through the forums but I can't seem to find any solutions. Any suggestions wou