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 <bantexmutation@hotmail.com> 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 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 would be helpful.
>
> B
>
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