Lu Fan,

You shoud write something like:

fct_computeCoeffAndStats<-function(zooObject)
{
Reg_lm = lm(Y~X,data=...)
Reg_coeff = Reg_lm$coefficients
Tstat = summary(Reg_lm)$tstat
#check names of the summary to find the right #"tstat" name to apply to summary() i think it is #Pr<... But i cant remember exactly. Moreover #the result of this will propably be a list() so #check with class() how to correctly work with #this. If it is a list you can use unlist() to have #an as.numeric format
dataToReturn = cbind(Reg_coeff,Tstat)
Return(as.numeric(dataToReturn))
}

In the rollapply you use this function

Rollapply(data, width, fct_computeCoeffandStats,...) Instead of the function you were using.

Sorry for the short message an the uncomplete answer but im not home. Hope it helps for the moment.


Regards

Sent using BlackBerry® from Orange

-----Original Message-----
From: Lu Fan <lfanff@gmail.com>
Date: Tue, 17 May 2011 16:15:08 
To: <p.desmazis@gmail.com>
Cc: <r-sig-finance@r-project.org>
Subject: Re: [R-SIG-Finance] rolling regression estimate std. error / t value

Hi Des Mazis,

Thank you for your reply. Yes, I am looking for that function too.
I tried to use summary(lm(y~f1+f2+f3+f4+f5, data=as.data.frame(x)) instead
of  coef(lm(y~f1+f2+f3+f4+f5, data=as.data.frame(x)) , but unfortunately it
didn't work.

-Lu


On Tue, May 17, 2011 at 4:04 PM, des Mazis, Pierre-Alexandre <
p.desmazis@gmail.com> wrote:

> 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@gmail.com>
> Sender: r-sig-finance-bounces@r-project.orgDate: Tue, 17 May 2011 14:41:03
> To: <r-sig-finance@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!
>
>         [[alternative HTML version deleted]]
>
>_______________________________________________
> R-SIG-Finance@r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. If you want to post, subscribe first.
> -- Also note that this is not the r-help list where general R questions
> should go.
>


	[[alternative HTML version deleted]]

