[R-sig-finance] tips and tricks for rolling regressions?

Taher Khan t.khan at econ.bbk.ac.uk
Wed Aug 25 13:31:51 CEST 2004


Greetings!

I want to find out if there is a clever way to do a one-step-ahead
moving window rolling regression using a vectorized operation like with
apply, rather than a for loop.

Does anyone have a code snippet they would like to share for how they do
rolling regressions?!?!

Thanks in advance!



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