R help - May 2012 - Rolling Sample VAR

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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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
>
> --
> View this message in context:
> http://r.789695.n4.nabble.com/Rolling-Sample-VAR-tp4631328.html
> Sent from the R help mailing list archive at Nabble.com.
>
> ______________________________________________
> R-help@r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
> http://www.R-project.org/posting-guide.html
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>
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