Displaying 2 results from an estimated 2 matches for "spread1".
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2011 Aug 02
1
Writing multiple regression in one function
Hello all,
I am newbie to R and have not been able to find too much stuff on a version of VAR(p) I am working on.
Would someone be able to tell me if there is a more elegant way of writing A function for the following? Many thanks in advance. Darius
I am regressing returns of 8 asset classes on lagged values of 4 state variables and so I have 8 equations like the following:
cash_lag1= dynlm
2011 Oct 03
2
rolling regression
Dear all,
I have spent the last few days on a seemingly simple and previously documented rolling regression.
I have a 60 year data set organized in a ts matrix.
The matrix has 5 columns; cash_ret, epy1, ism1, spread1, unemp1
I have been able to come up with the following based on previous help threads. It seems to work fine.
The trouble is I get regression coefficients but need the immediate next period forecast.
cash_fit= rollapply(cash_data, width=60,
function(x) coef(lm(cash_ret~epy1+ism1+spread1+unemp1,...