[R] updating observations in lm

ivo welch ivo.welch at anderson.ucla.edu
Mon May 27 17:12:07 CEST 2013

dear R experts---I would like to update OLS regressions with new
observations on the front of the data, and delete some old
observations from the rear.  my goal is to have a "flexible"
moving-window regression, with a minimum number of observations and a
maximum number of observations.  I can keep (X' X) and (X' y), and add
or subtract observations from these two quantities myself, and then
use crossprod.

strucchange does recursive residuals, which is closely related, but it
is not designed for such flexible movable windows, nor primarily
designed to produce standard errors of coefficients.

before I get started on this, I just wanted to inquire whether someone
has already written such a function.


Ivo Welch (ivo.welch at gmail.com)

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