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PORolling regression return multiple objects
 

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    <p>I am trying to build a rolling regression function based on the example <a href="https://stackoverflow.com/questions/11583177/dynamic-time-series-prediction-and-rollapply">here</a>, but in addition to returning the predicted values, I would like to return the some rolling model diagnostics (i.e. coefficients, t-values, and mabye R^2). I would like the results to be returned in discrete objects based on the type of results. The example provided in the link above sucessfully creates thr rolling predictions, but I need some assistance packaging and writing out the rolling model diagnostics: </p> <p>In the end, I would like the function to return three (3) objects: </p> <ol> <li>Predictions </li> <li>Coefficients</li> <li>T values</li> <li>R^2</li> </ol> <p>Below is the code: </p> <pre><code>require(zoo) require(dynlm) ## Create Some Dummy Data set.seed(12345) x &lt;- rnorm(mean=3,sd=2,100) y &lt;- rep(NA,100) y[1] &lt;- x[1] for(i in 2:100) y[i]=1+x[i-1]+0.5*y[i-1]+rnorm(1,0,0.5) int &lt;- 1:100 dummydata &lt;- data.frame(int=int,x=x,y=y) zoodata &lt;- as.zoo(dummydata) rolling.regression &lt;- function(series) { mod &lt;- dynlm(formula = y ~ L(y) + L(x), data = as.zoo(series)) # get model nextOb &lt;- max(series[,'int'])+1 # To get the first row that follows the window if (nextOb&lt;=nrow(zoodata)) { # You won't predict the last one # 1) Make Predictions predicted &lt;- predict(mod,newdata=data.frame(x=zoodata[nextOb,'x'],y=zoodata[nextOb,'y'])) attributes(predicted) &lt;- NULL c(predicted=predicted,square.res &lt;-(predicted-zoodata[nextOb,'y'])^2) # 2) Extract coefficients #coefficients &lt;- coef(mod) # 3) Extract rolling coefficient t values #tvalues &lt;- ????(mod) # 4) Extract rolling R^2 #rsq &lt;- } } rolling.window &lt;- 20 results.z &lt;- rollapply(zoodata, width=rolling.window, FUN=rolling.regression, by.column=F, align='right') </code></pre> <p>So after figuring out how to extract t values from model (i.e. mod) , what do I need to do to make the function return three (3) seperate objects (i.e. Predictions, Coefficients, and T-values)?</p> <p>I am fairly new to R, really new to functions, and extreemly new to zoo, and I'm stuck. </p> <p>Any assistance would be greatly appreciated.</p>
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