[R-SIG-Finance] rolling regression estimate std. error / t value

[des Mazis, Pierre-Alexandre]

Hi Lu Fan,

I think you should change the FUN function in your rollapply to something that computes the coefficients and the stats you are interested in and returns the concatenation of the results using as.numeric format.

Regards
Sent using BlackBerry® from Orange

-----Original Message-----
From: Lu Fan <lfanff at gmail.com>
Sender: r-sig-finance-bounces at r-project.orgDate: Tue, 17 May 2011 14:41:03 
To: <r-sig-finance at r-project.org>
Subject: [R-SIG-Finance] rolling regression estimate std. error / t value

Dear all,

The following codes is for a multi-factor rolling regression with rolling
window = 60:

> z<-read.table("C:/.../dataset.txt")
> library(zoo)
> mydata=zoo(z)
> coef=rollapply(mydata,width=60,function(x) coef(lm(y~f1+f2+f3+f4+f5,
data=as.data.frame(x))),by.column=FALSE,align="right")

The result is shown below:

     (Intercept)          f1          f2           f3          f4         f5
60    2.61433094  0.16136881 -0.72852878  -1.62169901 -28.7663294 -1.0079586
61    2.36795263  0.14779184 -0.72893841  -1.42712190 -28.9783777 -1.0877425
62    1.80016092  0.13134766 -0.75010570  -0.92525342 -27.2138634 -1.0736837
63    1.76904728  0.05141441 -0.94569512  -0.34299478 -19.7857978 -0.6615184
64    2.29169442  0.13725741 -0.65519163  -1.44045686 -24.1101822 -0.8517188
65    2.19904020  0.16520775 -0.58812883  -1.52981468 -24.9350513 -0.9234610
66    1.84645778  0.23440231 -0.54350214  -1.42709733 -21.7792819 -0.8785267
67    1.60558115  0.30913187 -0.25909438  -1.82122203 -21.1839368 -0.8866916
68    1.49679459  0.31441766 -0.40952404  -1.52307138 -18.5434502 -1.0317272
69    2.02789774  0.20500137 -0.65737973  -1.34524065 -17.1654126 -0.8685087
70    2.11604869  0.09416856 -0.93294824  -0.74672358 -16.8795155 -0.8370804
71    1.73134487 -0.01723606 -1.41291550   0.53813772 -15.0169149 -0.9722847

So these are the regression coefficients; my question is how can I get
estimate std. error or t-value for these coefficients on a rolling basis?
Can I also add multicollinearity testing in this code?

Thank you in advance!

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