Re: Roll nlme

["Chen,Sichong" <sichong.chen@postgrad.manchester.ac.uk>]

Dear All

This roll question reminds of previous problem. I have two matrix A (5000*60) and B (5000*60). What I need to do is to run the regression between the rows of A and B. out = A[1,]~B[1,]…, A[2,]~B[2,]…. A[5000,]~B[5000,]. Previously I used a loop to do 5,000 times of regression which cost about one hour. Since FinMetrics has the function like roll, do you know whether it has a function to solve this kind of problem faster?

Another question bothered me for a long time is that the function like GARCH, glm etc, the outputs don’t have t-stats, they only reports coefficients. I have to use function summary and find the t-stats. It works if I use loop to save my results of t-stats but it does not works if I use roll because only the coefficients are save.

Many thanks,

Best,

Sichong Chen
SPlus 7.0 & FinMetrics 2.0 User
Windows XP