The splus function aggregateSeries together
with the lm function can be used to do the rolling regression you describe. The
lme and nlme libraries have functions for panel data regression.
-----Original Message-----
From:
s-news-owner@lists.biostat.wustl.edu
[mailto:s-news-owner@lists.biostat.wustl.edu] On
Behalf Of ng singlan
Sent: Wednesday, May 17, 2006
10:30 PM
To: s-news@lists.biostat.wustl.edu
Subject: [S] Regressing by Rolling
Time
Does anyone know that can S-Plus
handle Regression by Rolling Time? For
example, analyzing data for a time period of say May 2001-May 2006, then for a
time period of Jun 2001-Jun 2006, then for a time period of July 2001-July 2006.
I know that S-Plus FinMetrics can do
for a time period of say from May 2001-May 2006, then for a time period from
May 2001- Jun 2006, then for a time period from May 2001-July 2006, which the
end date is increasing but the start date is still the same. But i need to do
the regression which both of the start date and end date is increasing(+1)
I would like to know also can S-Plus
handle panel data and cross sectional time regression.
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