[R] Rolling regressions with sample extended one period at a time

R. Michael Weylandt michael.weylandt at gmail.com
Wed Mar 14 04:25:51 CET 2012

Perhaps zoo::rollapply from the zoo package can get you started.


On Tue, Mar 13, 2012 at 4:49 PM, pie' <tcpietro at yahoo.it> wrote:
> Hi,
> I would like suggestions as to how to perform rolling regressions with the
> window extended one period at a time. That is, an initial sample period is
> passed to estimation and that very sample is then extended one period at a
> time through the remaining sample. Is there a specific package?
> Thnks.
> P.
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