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

R. Michael Weylandt michael.weylandt at gmail.com
Fri Mar 16 22:05:40 CET 2012

You can use predict() just as you would anywhere else:

for(i in 80:100){
    predict(lm(y ~ x, data = dats[1:i, ]), newdata = ???)


On Fri, Mar 16, 2012 at 8:12 AM, pie' <tcpietro at yahoo.it> wrote:
> hey,
> thanks for the hint. I too figured I'd have to write a for-loop. I have the
> problem now of how to extract the single element of the fitted values
> vector. For example, run 1 of the regression generates 80 fitted values, run
> 2 generates 81 fitted values, run 3 produces 82 fitted values and so on. I
> need to extract the 80th, 81st, 82nd (all the last values generated at every
> run) value into a separate vector. I know that lm (and glm) provides a
> specific function for extracting  the predicted values but I don't know how
> to use it inside a loop. Can you suggest anything?
> P.
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