grid.roll.reg {fDMA} | R Documentation |
roll.reg
Function for Multiple Values of window
.Sometimes it is necessary to consider various values of parameter window
in Rolling Regression. This function computes roll.reg
function for all values of window
for a given grid.
This function is a wrapper of roll.reg
.
grid.roll.reg(y,x=NULL,grid.window,parallel.grid=NULL,c=NULL)
y |
see |
x |
see |
grid.window |
a numeric |
parallel.grid |
optional, |
c |
optional, see |
an object of class grid.roll.reg
, list
of
$models |
|
$fq |
|
print.grid.roll.reg
, summary.grid.roll.reg
, plot.grid.roll.reg
.
wti <- crudeoil[-1,1]
drivers <- (lag(crudeoil[,-1],k=1))[-1,]
ld.wti <- (diff(log(wti)))[-1,]
ld.drivers <- (diff(log(drivers)))[-1,]
grw <- c(50,100,150)
g <- grid.roll.reg(y=ld.wti,x=ld.drivers,grid.window=grw)
# extract model with window=100
model <- g$models[[2]]