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Compute standard errors

Open boennecd opened this issue 4 years ago • 1 comments

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 implement.

boennecd avatar Mar 11 '21 10:03 boennecd

The feature is requested in this Stackoverflow comment: https://stackoverflow.com/questions/23162937/the-rolling-regression-in-r-using-roll-apply/52457815?noredirect=1#comment121401460_52457815

boennecd avatar Oct 04 '21 06:10 boennecd