java显示数据一次滚动一次_R：如何一次为多个返回数据滚动回归？在一个数据框中使用因变量而在另一个数据框中使用回归量？...

大家好我想问一下，有没有办法一次性多次返回滚动窗口回归，一个数据框中的因变量和另一个数据框中的回归量？我试图结合rollapply和sapply功能来做到这一点 . 到目前为止，我似乎无法使其工作 .

对于金融背景：我想要做的是计算Fama-Macbeth回归的回归量 . 使用滚动窗口向前滚动1个月以更新回归量 . 与最初的1973年Fama-macbeth不同，估计期延长了4年 .

我附上了下面的示例脚本所需的.csv文件的链接，它包含来自雅虎财经的每日价格数据，以便你们可以更好地了解我想要做的事情 .

library(xts)

library(quantmod)

library(lmtest)

library(sandwich)

library(MASS)

library(tseries)

data.AMZN

date

data.AMZN

data.AMZN

data.AMZN

names(data.AMZN)

paste(c("AMZN.Open","AMZN.High","AMZN.Low",

"AMZN.Close","AMZN.Volume","AMZN.Adjusted"))

data.AMZN[c(1:3,nrow(data.AMZN)),]

data.YHOO

date

data.YHOO

data.YHOO

data.YHOO

names(data.YHOO)

paste(c("YHOO.Open","YHOO.High","YHOO.Low",

"YHOO.Close","YHOO.Volume","YHOO.Adjusted"))

data.YHOO[c(1:3,nrow(data.YHOO)),]

data.mkt

date

data.mkt

data.mkt

data.mkt

names(data.mkt)[1:6]

paste(c("GSPC.Open","GSPC.High","GSPC.Low",

"GSPC.Close","GSPC.Volume","GSPC.Adjusted"))

data.mkt[c(1:3,nrow(data.mkt))]

rets

rets$YHOO

names(rets)[1]

mktrets

names(mktrets)[1]

rets

rets.df = as.data.frame(rets)

mktrets

mktrets.df = as.data.frame(mktrets)

# combining this funtion : do 252 days rolling window linear regression,

#for a single asset as dependent variable and the other as regressor, in the same data frame

coeffs

width=252,

FUN=function(X)

{

roll.reg=lm(AMZN~YHOO,#YHOO is supposed to be GSPC, just an illustration.

data=as.data.frame(X))

return(summary(roll.reg)$coef)

},

by.column=FALSE)

#With this funtion : it does linear regressions for multiple assets in a different data frame at once

#and put it in a matrix.

Coefficients = sapply(1:ncol(rets),function(x) {

summary(lm(rets[,x]~mktrets[,1]))$coefficients

}

)

#I need to the rolling regressions with different data frames because

#in the real application,i need to assign a unique and specific regressor to

#each dependent variable

也许问题太多了，但我真的需要这样做 . 任何关于如何做到这一点或任何其他方式的建议将非常感激 .

多谢你们 .