滾動時間序列迴歸按組

Question

我的工作在以下數據中R：

# Getting stock data 
library(quantmod) 
tickers <- c("ASC.OL", "AFG.OL", "AKA.OL", "AKER.OL", "AKERBP.OL", "AKSO.OL", "AKVA.OL", "AMSC.OL", "APP.OL", "AQUA.OL", "ARCHER.OL", "ARCUS.OL", "AFK.OL", "ASETEK.OL", "ATEA.OL", "ATLA-NOK.OL", "AURG.OL", "AUSS.OL", "AVANCE.OL", "AVM.OL", "AXA.OL", "B2H.OL", "BAKKA.OL", "BEL.OL", "BERGEN.OL", "BGBIO.OL", "BIOTEC.OL", "BON.OL", "BOR.OL", "BRG.OL", "BOUVET.OL", "BWLPG.OL", "BWO.OL", "BMA.OL", "COV.OL", "CXENSE.OL", "DAT.OL", "DESSC.OL", "DNB.OL", "DNO.OL", "DOF.OL", "EIOF.OL", "EKO.OL", "EMGS.OL", "EMAS.OL", "ENTRA.OL", "EPR.OL", "FAR.OL", "FOE.OL", "FRO.OL", "FUNCOM.OL", "GIG.OL", "RISH.OL", "GJF.OL", "GOGL.OL", "GOD.OL", "GSF.OL", "GYL.OL", "HNA.OL", "HNB.OL", "HAVI.OL", "HYARD.OL", "HELG.OL", "HEX.OL", "HIDDN.OL", "HLNG.OL", "HSPG.OL", "IMSK.OL", "IDEX.OL", "INC.OL", "ISSG.OL", "INSR.OL", "IOX.OL", "ITX.OL", "ITE.OL", "JIN.OL", "JAEREN.OL", "KID.OL", "KIT.OL", "KOA.OL", "KOG.OL", "KVAER.OL", "LSG.OL", "LINK.OL", "MHG.OL", "MEDI.OL", "MELG.OL", "MULTI.OL", "NAPA.OL", "NAVA.OL", "NEL.OL", "NEXT.OL", "NGT.OL", "NANO.OL", "NOD.OL", "NHY.OL", "NSG.OL", "NRS.OL", "NAS.OL", "NOR.OL", "NOFI.OL", "NPRO.OL", "NRC.OL", "NTS.OL", "OCY.OL", "OTS.OL", "ODL.OL", "ODF.OL", "ODFB.OL", "OLT.OL", "OPERA.OL", "ORK.OL", "PEN.OL", "PARB.OL", "PGS.OL", "PDR.OL", "PHO.OL", "PLCS.OL", "POL.OL", "PRS.OL", "PROTCT.OL", "QFR.OL", "QEC.OL", "RAKP.OL", "REACH.OL", "REC.OL", "RENO.OL", "SDSD.OL", "SAFE.OL", "SALM.OL", "SADG.OL", "SAS-NOK.OL", "SSO.OL", "SCHA.OL", "SCHB.OL", "SBX.OL", "SDRL.OL", "SBO.OL", "SEVDR.OL", "SEVAN.OL", "SIOFF.OL", "SKBN.OL", "SKI.OL", "SKUE.OL", "SOLON.OL", "SOFF.OL", "SOFFB.OL", "SOLV.OL", "SONG.OL", "SBVG.OL", "NONG.OL", "RING.OL", "MING.OL", "SRBANK.OL", "SOAG.OL", "MORG.OL", "SOR.OL", "SVEG.OL", "SPOG.OL", "SPU.OL", "STL.OL", "SNI.OL", "STB.OL", "STORM.OL", "STRONG.OL", "SUBC.OL", "TIL.OL", "TRVX.OL", "TEAM.OL", "TECH.OL", "TEL.OL", "TGS.OL", "SSC.OL", "THIN.OL", "TOM.OL", "TOTG.OL", "TRE.OL", "TTS.OL", "VEI.OL", "VVL.OL", "WWL.OL", "WEIFA.OL", "WRL.OL", "WWI.OL", "WWIB.OL", "WILS.OL", "XXL.OL", "YAR.OL", "ZAL.OL") 
dataEnv <- new.env() 
out <- sapply(tickers, function(s) tryCatch({ getSymbols(s , env = dataEnv) }, error = function(e) NA)) 
plist <- eapply(dataEnv, Ad) 
pframe <- do.call(merge, plist) 
names(pframe) <- gsub(".Adjusted", "", names(pframe)) 
names(pframe) <- gsub(".X", "", names(pframe)) 
pframe <- log(pframe) 
pframe <- diff(pframe, lag = 1) 
pframe<-t(pframe) 
library(reshape2) 
pframe<- melt(pframe) 
library(data.table) 
setnames(pframe, old=c("Var1","Var2", "value"), new=c("Ticker", "Date", "Returns")) 

# Getting index data 
index <- c("^GSPC") 
dataEnv1 <- new.env() 
out1 <- sapply(index, function(s) tryCatch({ getSymbols(s , env = dataEnv1) }, error = function(e) NA)) 
index <- eapply(dataEnv1, Ad) 
index <- do.call(merge, index) 
names(index) <- gsub(".Adjusted", "", names(index)) 
names(index) <- gsub(".X", "", names(index)) 
index <- log(index) 
index <- diff(index, lag = 1) 
index<-t(index) 
index<- melt(index) 
library(data.table) 
setnames(index, old=c("Var1","Var2", "value"), new=c("Index", "Date", "Index_Returns")) 

# Getting curr data 
curr <- c("NOK=X") 
dataEnv1 <- new.env() 
out1 <- sapply(curr, function(s) tryCatch({ getSymbols(s , env = dataEnv1) }, error = function(e) NA)) 
curr <- eapply(dataEnv1, Ad) 
curr <- do.call(merge, curr) 
names(curr) <- gsub(".Adjusted", "", names(curr)) 
names(curr) <- gsub(".X", "", names(curr)) 
curr <- log(curr) 
curr <- diff(curr, lag = 1) 
curr<-t(curr) 
curr<- melt(curr) 
library(data.table) 
setnames(curr, old=c("Var1","Var2", "value"), new=c("NOK", "Date", "NOK_Returns")) 

NOK_index <- merge(index, curr, by="Date") 
NOK_index$Index <- NULL 
NOK_index$NOK <- NULL 

Final <- merge(pframe, NOK_index, by="Date") 
Final <- na.omit(Final) 

我想按組滾動運行時間序列迴歸，在所謂的「最後」的數據集。 group-id是名爲「Ticker」的變量。我想要的窗口至少基於240個觀察值，至少有120個觀測值。我想在「Market_ret」上回歸「返回」。目前正在研究下面的迴歸代碼，試圖使迴歸滾動。任何建議？我嘗試了下面的代碼，但它需要很長時間（得到以下消息：剩下1％〜5小時，在它完成之前取消它）。

library(dplyr) 
library(magrittr) 
library(broom) 
## Fit models 
fitted_model <- Final %>% group_by(Ticker) %>% do(tidy(rollapply(. , width=262, FUN = function(Z) { t = lm(formula=Returns ~ Index_Returns + NOK_Returns, data = as.data.frame(Z), na.rm=T); return(t$coef) }, by.column=FALSE, align="right"))) 

Answer 1

如果要通過組運行OLS迴歸，可以嘗試使用dplyr包。使用do（）函數將運行你的模型並將它們存儲在一個名爲model的變量中。

library(dplyr) 
library(magrittr)  
## Fit models 
fitted_model <- Final %>% 
    group_by(Ticker) %>% 
    do(model = lm(Returns ~ Market_ret, data = .)) 

要提取係數簽入broom包河跑tidy(model)應該做的伎倆。 「：在意想不到的符號：錯誤 」：