Re: Roll nlme

["Chalvatzis, Dimitrios (Energy Wholesale)" <Dimitrios.Chalvatzis@eon-uk.com>]

Please specify whether you have the Finmetrics module.

If that is the case you simply need to populate the ‘roll’ function arguments according to the instructions of the help file.

 

Dimitrios

 

 

Dimitrios Chalvatzis
Risk Analyst
Energy Wholesale/Risk Policies & Methods
T +44 (0)24 7642 5429
F +44 (0)24 7642 5479
Dimitrios.Chalvatzis@eon-uk.com

 

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From: s-news-owner@lists.biostat.wustl.edu [mailto:s-news-owner@lists.biostat.wustl.edu] On Behalf Of Juan Carlos Ruilova Teran
Sent: Thursday, April 06, 2006 12:43 PM
To: s-news@wubios.wustl.edu
Subject: [S] Roll nlme

 

Hello people,

I have to do a logistic regression in time series. But I need to do a Backtesting, so I need to do a roll regression, similar to roll OLS in finmetrics, but I need a methos very fast because I have big time series.

Somebody can help me please...

Thanks

Juan Carlos

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