[R] using step function in functions

[Barry Feldman]

Help!

I am a new R user.  It has been slow getting up to speed, but definitely 
rewarding.  I have come up against a problem I can't handle.  I would
very much appreciate any help.

I am writing a vector auto regression (VAR) function that utilizes existing
R statistical functions.  I would like to use the step function to do
step-wise elimination on each univariate time series model.  No matter
what I do, I can't get step() to work inside a function, although it seems
to work perfectly well through the GUI.  

I get an error such as the following when I try to run the function:

Error in eval(expr, envir, enclos) : Object "SP500" not found

In this case the object is the dependent variable.  In other cases it can
be one of the independent variables.  I've tried everying I can think of.
The code for the function follows.  It should work with any numeric
variables
and specified number of lags.

Thanks in advance,

Barry Feldman

Barry Feldman                (p) 312-616-9213
Ibbotson Associates          (f) 312-616-0404          
225 North Michigan Ave.
Chicago, IL 60601 U.S.A.

# Vector Auto Regression
VAR <- function(rData0,lagz) {

# build regression datasets
rData<-na.omit(rData0)
dimz<-dim(rData)
depDat<-rData[(lagz+1):dimz[1],]
print((dim(depDat))[1])
    for (i in 1:lagz)       {
        cDat<-rData[(lagz-i+1):(dimz[1]-i),]
        for (j in 1:dimz[2])        {
            names(cDat)[j]<-paste(names(cDat)[j],"xL", i,
sep="",collapse=NULL)
            }
        if (i==1) indDat<-cDat else indDat<-cbind(indDat,cDat)
        }

# build regression models
for (i in 1:dimz[2])    {
    subData<-cbind(depDat[[i]],indDat)
    names(subData)[1]<-names(rData)[i]
    
    # make model where first variable in frame is the dependent variable
    regOut00<-eval(substitute(lm( dV ~ . , data=subData),
                     list(dV = as.name(names(subData)[1]))
                ))
    regOut0<-step(regOut00)
    #regOut0<-eval(step(regOut00),envir=subData,enclos=parent.frame())
    
    regOut0<-list(regOut0)
    if (i>1) regOut<-c(regOut,regOut0) else regOut<-regOut0
    }
    #subData
    regOut
}


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