Re: [R] Rolling regressions with sample extended one period at a time
hey, thnks a lot. I got exactly what I wanted. -- View this message in context: http://r.789695.n4.nabble.com/Rolling-regressions-with-sample-extended-one-period-at-a-time-tp4470316p4485815.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 and provide commented, minimal, self-contained, reproducible code.
Re: [R] Rolling regressions with sample extended one period at a time
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. -- View this message in context: http://r.789695.n4.nabble.com/Rolling-regressions-with-sample-extended-one-period-at-a-time-tp4470316p4478016.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 and provide commented, minimal, self-contained, reproducible code.
Re: [R] Rolling regressions with sample extended one period at a time
You can use predict() just as you would anywhere else:
for(i in 80:100){
predict(lm(y ~ x, data = dats[1:i, ]), newdata = ???)
}
Michael
On Fri, Mar 16, 2012 at 8:12 AM, pie' tcpie...@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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Re: [R] Rolling regressions with sample extended one period at a time
If the OP just wants the last fitted value, use fitted():
dats - data.frame(x = 1:100, y = rnorm(100))
num.runs - 21
fitvec - numeric(num.runs)
for(i in seq_len(num.runs)){
fits - fitted(lm(y ~ x, data = dats[1:(80+i-1), ]))
fitvec[i] - tail(fits, 1)
}
Peter Ehlers
On 2012-03-16 14:05, R. Michael Weylandt wrote:
You can use predict() just as you would anywhere else:
for(i in 80:100){
predict(lm(y ~ x, data = dats[1:i, ]), newdata = ???)
}
Michael
On Fri, Mar 16, 2012 at 8:12 AM, pie'tcpie...@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.
--
View this message in context:
http://r.789695.n4.nabble.com/Rolling-regressions-with-sample-extended-one-period-at-a-time-tp4470316p4478016.html
Sent from the R help mailing list archive at Nabble.com.
__
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and provide commented, minimal, self-contained, reproducible code.
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Re: [R] Rolling regressions with sample extended one period at a time
Hi, I took a look at the documentation concerning rollapply and it doesnt seem to be the command I need. Just to be more clear, on an initial sample of 80 observations I want to perform a probit regression and save the fitted probabilities in a vector. Subsequently another probit is run on the sample 1-81 with relative save of the fitted probabilities. And so again for the sample 1-82, 1-83, 1-84 etc... through the end of the sample. Does rollapply allow me to do this? P. -- View this message in context: http://r.789695.n4.nabble.com/Rolling-regressions-with-sample-extended-one-period-at-a-time-tp4470316p4471995.html Sent from the R help mailing list archive at Nabble.com. [[alternative HTML version deleted]] __ 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 and provide commented, minimal, self-contained, reproducible code.
Re: [R] Rolling regressions with sample extended one period at a time
My apologies: I was thinking of rolling more in the sense of
sliding than creeping. I'm not aware of anything suited for that,
but it's not hard to roll your own with something like
dats - data.frame(x = 1:100, y = rnorm(100))
for(i in 80:100){
lm(y ~ x, data = dats[1:i, ])
}
Michael
On Wed, Mar 14, 2012 at 10:38 AM, pie' tcpie...@yahoo.it wrote:
Hi,
I took a look at the documentation concerning rollapply and it doesnt seem
to be the command I need. Just to be more clear, on an initial sample of 80
observations I want to perform a probit regression and save the fitted
probabilities in a vector. Subsequently another probit is run on the sample
1-81 with relative save of the fitted probabilities. And so again for the
sample 1-82, 1-83, 1-84 etc... through the end of the sample. Does rollapply
allow me to do this?
P.
--
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[[alternative HTML version deleted]]
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and provide commented, minimal, self-contained, reproducible code.
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[R] Rolling regressions with sample extended one period at a time
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. -- View this message in context: http://r.789695.n4.nabble.com/Rolling-regressions-with-sample-extended-one-period-at-a-time-tp4470316p4470316.html Sent from the R help mailing list archive at Nabble.com. [[alternative HTML version deleted]] __ 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 and provide commented, minimal, self-contained, reproducible code.
Re: [R] Rolling regressions with sample extended one period at a time
Perhaps zoo::rollapply from the zoo package can get you started. Michael On Tue, Mar 13, 2012 at 4:49 PM, pie' tcpie...@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. -- View this message in context: http://r.789695.n4.nabble.com/Rolling-regressions-with-sample-extended-one-period-at-a-time-tp4470316p4470316.html Sent from the R help mailing list archive at Nabble.com. [[alternative HTML version deleted]] __ 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 and provide commented, minimal, self-contained, reproducible code. __ 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 and provide commented, minimal, self-contained, reproducible code.
