# Rolling regression xts object in R

I am attempting to perform a rolling 100 day regression on an xts object and return the t statistic of the slope coefficient for all dates. I have an xts object, prices:

> tail(prices) DBC EEM EFA GLD HYG IEF IWM IYR MDY TLT 2012-11-02 27.14 41.60 53.69 162.60 92.41 107.62 81.19 64.50 179.99 122.26 2012-11-05 27.37 41.80 53.56 163.23 92.26 107.88 81.73 64.02 181.10 122.95 2012-11-06 27.86 42.13 54.07 166.30 92.40 107.39 82.34 64.16 182.69 121.79 2012-11-07 27.34 41.44 53.26 166.49 91.85 108.29 80.34 63.84 178.90 124.00 2012-11-08 27.38 40.92 52.78 167.99 91.55 108.77 79.21 63.19 176.37 125.84 2012-11-09 27.60 41.00 52.80 167.82 91.39 108.78 79.38 62.98 176.80 125.98

And a function to generate the t value from a regression of the last 100 prices and return as xts object with the same column names as prices:

compute.regression <- function(x) { last100 = last(x,100) fit <- lm (last100~time(last100)) tval <- unlist(lapply( coef(summary(fit)), "[" ,"(Intercept)" ,"t value")) tval.mat <-as.matrix(tval) tval.mat2 <- matrix(c(tval.mat), nrow=1, ncol=10) new2 <- xts(tval.mat2, Sys.Date()) colnames(new2) <- tickers return(new2) } > compute.regression(prices) IWM EFA HYG EEM IYR IEF TLT DBC GLD MDY 2012-11-10 -7.642781 -14.33474 -16.28911 -14.52982 -15.85337 5.732489 -8.026495 -1.960392 -11.82474 8.686045

However, this function only returns the t values for the current date. I need a xts object that includes the t values for all dates included in the prices xts object. I am attempting to use rollapply but not getting anywhere:

fit.r <- function (x) { hard <- lm (x~time(x)) return(hard) } compute.r <- function(x) { l100.ra <- rollapply(x, 100, fit.r, fill=NA, align='right') tval <- unlist(lapply( coef(summary(l100.ra)), "[" ,"(Intercept)" ,"t value")) tval.mat <-as.matrix(tval) tval.mat2 <- matrix(c(tval.mat), nrow=1, ncol=10) new2 <- xts(tval.mat2, Sys.Date()) colnames(new2) <- tickers return(new2) }

But this returns the error:

compute.r(prices)

Error in zoo(rval, index(x)[i]) :

“x” : attempt to define invalid zoo object

I know the problem is in the l100.ra line but cannot fix it. Any thoughts?

**EDIT 1**

The function provided below:

x <- prices f <- function (x) { res <- coef(summary(lm(x ~ time(x))) sapply(res, "[" ,"time(x)" ,"t value") } r <- rollapplyr(x, 100, f, by.column=FALSE)

works well but changes the date/time format to that below:

> last(r,5) Response MDY Response TLT 1352160000 15.38380 -7.913764 1352246400 14.81888 -7.957261 1352332800 13.96203 -7.666699 1352419200 13.28624 -7.299532 1352678400 12.75266 -7.100558

I've been reading up on timestamps but dont understand why the conversion took place. Also, when I try:

last(index(r),5) [1] "2012-11-06 GMT" "2012-11-07 GMT" "2012-11-08 GMT" "2012-11-09 GMT" "2012-11-12 GMT"

It shows the timestamps in POSIXct format. Any clues here? I need to convert back to the format in prices above. Thanks!