I have to do roll regression based on the Daily data. I use the past three
weeks of daily returns as the estimation window and the regression is
estimated rolling forward one week at a time generating time series
estimates of beta. I know I should use the rollapply in zoo package. but I
am not sure how to do.
data example:
stock day week y x
"00001" 2009-01-02 2009-01 0.89 2.45
"00001" 2009-01-03 2009-01 1.21 1.90
"00001" 2009-01-04 2009-01 0.12 0.89
"00001" 2009-01-05 2009-01 1.45 2.78
"00001" 2009-01-06 2009-01 1.98 0.98
"00001" 2009-01-09 2009-02 3.34 1.23
"00001" 2009-01-10 2009-02 0.12 0.89
"00001" 2009-01-11 2009-02 1.45 2.78
"00001" 2009-01-13 2009-02 1.98 0.98
"00001" 2009-01-16 2009-03 3.38 0.93
"00001" 2009-01-17 2009-03 6.56 3.90
"00001" 2009-01-18 2009-03 5.09 3.45
"00001" 2009-01-19 2009-03 5.89 3.78
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