如何使用rollapply訪問t統計量和p值？

Question

請幫助並對天真的問題抱歉。 我：

> head (g) 
    bo_m   dax    bo_m_lag 
1 -0.040131270 0.001842860  0.032612438 
2 0.112425025 -0.018043681  -0.040131270 
3 -0.078987920 -0.009463752  0.112425025 
4 -0.011990692 0.020144077  -0.078987920 
5 -0.005279136 0.013360796  -0.011990692 
6 0.055994660 -0.004568196  -0.005279136 

我需要運行與窗口= 51滾動窗口迴歸。所以我做了：

> library ("zoo") 
> dolm <- function(x) coefficients (lm(bo_m ~ ., data = as.data.frame(x), model=TRUE)) 
> res <- rollapplyr (g, 51, dolm, by.column = FALSE) 

> head(res) 
     Intercept  dax  bo_m_lag 
[1,] 0.01695970 0.1548448  -0.3846233 
[2,] 0.01752946 0.1381642  -0.3781836 
[3,] 0.01300192 0.3028419  -0.3549629 
[4,] 0.01415457 0.2012890  -0.3341618 
[5,] 0.01601414 0.2639384  -0.3486120 
[6,] 0.01684621 0.2733759  -0.3482895 

> summary (res) 
    Intercept    dax   bo_m_lag 
Min. :-0.030258 Min. :-0.71994 Min. :-0.64239 
1st Qu.:-0.001953 1st Qu.:-0.05464 1st Qu.:-0.40524 
Median : 0.003330 Median : 0.26794 Median :-0.35061 
Mean : 0.004174 Mean : 0.35349 Mean :-0.32037 
3rd Qu.: 0.014527 3rd Qu.: 0.90471 3rd Qu.:-0.26593 
Max. : 0.030142 Max. : 1.30679 Max. : 0.01971 

問題：我怎麼才能計算滾動窗口迴歸有t和p值？

非常感謝你， 羅馬

Answer 1

創建g，並在其上運行修訂dolm：

Lines <- " bo_m   dax    bo_m_lag 
-0.040131270 0.001842860  0.032612438 
    0.112425025 -0.018043681  -0.040131270 
-0.078987920 -0.009463752  0.112425025 
-0.011990692 0.020144077  -0.078987920 
-0.005279136 0.013360796  -0.011990692 
    0.055994660 -0.004568196  -0.005279136 
" 

library(zoo) 
g <- read.table(text = Lines, header = TRUE) 
dolm <- function(x) { 
    co <- coef(summary(lm(bo_m ~., as.data.frame(x)))) 
    c(Est = co[, 1], SE = co[, 2], t = co[, 3], P = co[, 4]) 
} 
r <- rollapplyr(g, 4, dolm, by.column = FALSE) 

UPDATE：更正和簡化。