rollRegres
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boennecd
R package for fast rolling and expanding linear regression models
Hi, I am performing a rolling regression (i.e., I am using a moving window). I have two variables, the y (called ntl) and x (called tirs20). Here is the code:...
Add standard errors for the coefficients as a possible output. The Choleksy decompaction of the inner product of the covariance matrix is computed so this should be straight forward to...
The manual pages states the following about the `width` argument: > Only used if do_downdates == True. But it is the minimum number of observations in expanding window regressions.
would you consider adding support for weights like `lm` does? i believe that lm uses a weighted least squares. i.e. minimizing sum(w*e^2), when given an input vector of weights
