I am trying to run a rolling regression with the new "roll" package. I need to run it on grouped data (in other words run the rolling regression per stock). Yet, grouping by stock-identifier (LPERMNO) does not work for some reason, although I've used it several times before.
This issue remains even if I run the dplyr package right before running the code, so other conflicting packages should not be an issue.
roll <-data %>%
group_by(LPERMNO) %>%
do(as.data.frame(coefficients( roll_lm(data$mktrf, data$exc_ret, 252, intercept = TRUE,
min_obs = 200, complete_obs = TRUE, na_restore = FALSE))))
here is some sample data created with dput
structure(list(date = structure(c(17021, 17022, 17023, 17024,
17025, 17028, 17029, 17030, 17031, 17032, 17035, 17036, 17037,
17038, 17039, 17042, 17043, 17044, 17045, 17046, 17050, 17051,
17052, 17053, 17056, 17057, 17058, 17059, 17060, 17063, 17064,
17065, 17066, 17067, 17070, 17071, 17072, 17073, 17074, 17077,
17078, 17079, 17080, 17081, 17084, 17085, 17086, 17087, 17088,
17091, 17092, 17093, 17094, 17095, 17098, 17099, 17100, 17101,
17102, 17105, 17106, 17107, 17108, 17109, 17112, 17113, 17114,
17115, 17116, 17119, 17120, 17121, 17122, 17123, 17126, 17127,
17128, 17130, 17133, 17134, 17135, 17136, 17137, 17140, 17141,
17142, 17143, 17144, 17147, 17148, 17149, 17150, 17151, 17154,
17155, 17156, 17157, 17158, 17162, 17163, 17164, 17165, 17169,
17170, 17171, 17172, 17175, 17176, 17177, 17178, 17179, 17183,
17184, 17185, 17186, 16804, 16805, 16806, 16807, 16808, 16811,
16812, 16813, 16814, 16815, 16819, 16820, 16821, 16822, 16825,
16826, 16827, 16828, 16829, 16832, 16833, 16834, 16835, 16836,
16839, 16840, 16841, 16842, 16843, 16847, 16848, 16849, 16850,
16853, 16854, 16855, 16856, 16857, 16860, 16861, 16862, 16863,
16864, 16867, 16868, 16869, 16870, 16871, 16874, 16875, 16876,
16877, 16878, 16881, 16882, 16883, 16884, 16888, 16889, 16890,
16891, 16892, 16895, 16896, 16897, 16898, 16899, 16902, 16903,
16904, 16905, 16906, 16909, 16910, 16911, 16912, 16913, 16916,
16917, 16918, 16919, 16920, 16923, 16924, 16925, 16926), class = "Date"),
LPERMNO = c(10025L, 10025L, 10025L, 10025L, 10025L, 10025L,
10025L, 10025L, 10025L, 10025L, 10025L, 10025L, 10025L, 10025L,
10025L, 10025L, 10025L, 10025L, 10025L, 10025L, 10025L, 10025L,
10025L, 10025L, 10025L, 10025L, 10025L, 10025L, 10025L, 10025L,
10025L, 10025L, 10025L, 10025L, 10025L, 10025L, 10025L, 10025L,
10025L, 10025L, 10025L, 10025L, 10025L, 10025L, 10025L, 10025L,
10025L, 10025L, 10025L, 10025L, 10025L, 10025L, 10025L, 10025L,
10025L, 10025L, 10025L, 10025L, 10025L, 10025L, 10025L, 10025L,
10025L, 10025L, 10025L, 10025L, 10025L, 10025L, 10025L, 10025L,
10025L, 10025L, 10025L, 10025L, 10025L, 10025L, 10025L, 10025L,
10025L, 10025L, 10025L, 10025L, 10025L, 10025L, 10025L, 10025L,
10025L, 10025L, 10025L, 10025L, 10025L, 10025L, 10025L, 10025L,
10025L, 10025L, 10025L, 10025L, 10025L, 10025L, 10025L, 10025L,
10025L, 10025L, 10025L, 10025L, 10025L, 10025L, 10025L, 10025L,
10025L, 10025L, 10025L, 10025L, 10025L, 10026L, 10026L, 10026L,
10026L, 10026L, 10026L, 10026L, 10026L, 10026L, 10026L, 10026L,
10026L, 10026L, 10026L, 10026L, 10026L, 10026L, 10026L, 10026L,
10026L, 10026L, 10026L, 10026L, 10026L, 10026L, 10026L, 10026L,
10026L, 10026L, 10026L, 10026L, 10026L, 10026L, 10026L, 10026L,
10026L, 10026L, 10026L, 10026L, 10026L, 10026L, 10026L, 10026L,
10026L, 10026L, 10026L, 10026L, 10026L, 10026L, 10026L, 10026L,
10026L, 10026L, 10026L, 10026L, 10026L, 10026L, 10026L, 10026L,
10026L, 10026L, 10026L, 10026L, 10026L, 10026L, 10026L, 10026L,
10026L, 10026L, 10026L, 10026L, 10026L, 10026L, 10026L, 10026L,
10026L, 10026L, 10026L, 10026L, 10026L, 10026L, 10026L, 10026L,
10026L, 10026L, 10026L), mktrf = c(-6e-04, 5e-04, -0.0029,
0.0054, -6e-04, 0.0039, -0.0057, 0.0012, 0.0032, -0.0011,
-2e-04, 0.0027, -0.0056, -8e-04, -0.0015, 0.0053, -0.0014,
-0.0024, 3e-04, 0.0053, 0.0026, 9e-04, -0.0018, -0.0247,
0.0144, -0.0148, -8e-04, 0.0107, -0.0036, 5e-04, -2e-04,
0.0112, 0.007, -0.006, -0.0088, 0.0064, 0.0056, -0.0098,
0.0088, -0.0026, -0.0046, 0.0058, -6e-04, -0.0038, 0.0052,
-0.013, 6e-04, -0.0042, 1e-04, -0.0029, 0.006, 0.0025, -0.0016,
2e-04, 0.0054, -0.0046, -0.0023, -0.0033, -0.0029, 2e-04,
-0.0068, -0.0073, -0.004, -0.0012, 0.0223, 0.004, 0.0146,
0.0032, 0.0018, 0.0021, 0.008, -0.0012, 0.0056, -0.0016,
0.0077, 0.0031, 0.0016, 0.004, -0.0064, 0.0011, -0.0025,
-0.0036, 0, 0.0075, 0.0048, 0.0126, 0.0036, 0.0046, -0.003,
0.006, -0.0082, 0.0046, -0.0022, 0.0022, 0.0044, -0.0024,
-0.003, 0.0019, 0.0027, -0.0087, -4e-04, -0.0052, 0.0083,
0.0079, -0.0021, 0.0029, -0.0037, 0.0016, 0.0031, -0.003,
0.0029, -0.0049, 0.0024, -0.0038, 0.0033, -0.0159, 0.0012,
-0.0135, -0.0244, -0.0111, -6e-04, 0.0071, -0.0267, 0.0165,
-0.0214, -0.002, -0.0094, 0.0045, 0.0208, -0.0171, 0.0152,
-0.0111, 0.0049, 0.0257, -4e-04, -0.02, 0.0046, 0.0027, -0.0206,
-0.0151, -0.001, 1e-04, -0.0117, 0.0198, 0.0178, 0.0175,
-0.0051, 6e-04, 0.0143, -0.0122, 0.0053, 0.011, -1e-04, -0.0069,
0.0234, 0.0054, 0.0051, 0.0037, 0.0021, -0.0127, 0.005, -0.0011,
0.0169, -0.0012, -0.0036, 0.0063, 0.0072, 0.0054, 0.001,
-5e-04, -0.0086, 0, 4e-04, 0.0107, 0.0041, -0.0011, 0.0064,
-0.0041, -0.0094, 0.0114, -0.0123, 0.0029, -0.0028, 0.0099,
0.0123, 3e-04, -4e-04, 0.0065, 0.0029, 0.0015, -0.0047, 0.0012,
-0.0024, 0.0029, 0.0021, -0.0096, -0.005, 0.0078, -0.0105,
-0.0066, -8e-04), exc_ret = c(0.00620354298757293, -0.0137466099558914,
0.000117779197546474, -1e-05, -0.0182800907116391, 0.0318744351900052,
-0.0379719119687225, 0.00208753539590984, 0.0177817320774463,
-0.00926449871465289, -0.0141511520498184, 0.0085437570732992,
0.00429584551148217, 0.442889831103027, -0.00658302359085188,
0.00270911538112923, 0.00143626231582756, -0.00172495622348594,
0.00179831826401451, 0.00531490974729249, -0.0021645919741448,
0.00421852001799368, -0.0139859899659559, -0.0169098727966564,
0.00775340110905727, 0.00099880410858406, -0.00605672469079259,
0.0111431016683566, -0.00265357338195087, 0.00465136550589535,
0.00235535662299864, 0.0133318043202034, -0.00323436184505148,
0.00124797466079614, -0.002881758054384, 0.004310043200432,
-0.00296725423425042, -0.013851452453712, -0.0031999380240612,
-0.00695888909207281, -0.00599471595617356, 0.00730752500926275,
0.00228885057471257, -0.00514761467889906, 0.00607631501291024,
-0.00367636113657193, 0.010385584176633, -0.00246834471455886,
0.00774830595107707, 0.00171085861787874, 0.00677119349005435,
0.00537841490794795, -0.000456627958910151, -1e-05, 0.00624558534405712,
-0.0106671936056837, -0.0197586535008977, -0.000467875457875456,
-0.000468085203848047, 0.00411465627864345, -0.000466412596987699,
-0.00594607305936084, 0.00320543408360125, -0.0032151282051283,
0.0100956499770327, 0.0131778126421101, 0.0152503231597845,
-0.0238826790450927, 0.0117653623188406, 0.00222813786929283,
0.00668941938365337, 0.0026519343389529, 0.000432477876106073,
-0.00177912870411328, 0.00663599025254753, 0.000430140845070491,
-0.00308963044434678, 0.00263783759929399, -0.00441140845070425,
0.041988231653404, -1e-05, -0.0144351166737377, 0.0034338226431337,
-0.00215500214500213, 0.00901837489251929, -1e-05, 0.0102158201959948,
0.00125528890763389, 0.00715090985678175, -0.00837470096194064,
0.00125528890763389, 0.00209614995787695, 0.00755620428751575,
-0.00251312891113891, -0.00544705562526131, -0.00211260723296885,
-0.00464548251158885, 0.0025302201524134, -0.0033883783783784,
-0.00594220338983058, -0.00214128729752776, -0.00812618966253735,
0.00687061154177439, 0.00896203592814362, -0.00595471810089019,
0.00637658848614078, -2e-05, 0.00294610169491518, 0.00589465990705542,
-0.00631987400251997, 0.00674246830092975, -0.000859630562552429,
0.00670268907563023, -0.0818230050083473, -0.000474545454545374,
NA, -0.00583605977540014, 0.00213466156719733, -0.0164196325552499,
-0.00207543764663409, 0.0121168279229587, 0.00866613061735011,
-0.0273693534100975, 0.0101994353883983, -0.0174885062652124,
-0.00266079456830892, -0.0163753449862005, -0.0143097643097643,
0.0197362178574818, -0.00260537824509166, -0.00923593618807717,
-0.0112994350282486, 0.00838095238095238, 0.0198337740838685,
-0.00788182811631792, -0.0180254951927564, 0.00103562737642588,
0.0017941971322762, 3.73933649287606e-05, -0.00489128524714471,
0.000466235831984084, 0.00951018278750955, -0.000953040362127556,
0.017169535586181, 0.00862028953229383, -0.00792241144539512,
0.00982028841695255, 0.00944908715217203, 0.000444876273653593,
-0.00264708284077468, 0.0070104230488693, 0.0122127252150293,
-0.0108328980322003, 0.00179848177954607, 0.00278808646989799,
-0.00460045904590449, -0.00561629351659281, -0.0111039347094662,
-0.00046977011494247, -0.0174893008279669, -0.00113359550561791,
-0.00666541807274095, 0.00036746532037386, -0.0117070097160646,
-0.00583227736947594, 0.0191912288786483, 0.0106343104747551,
-0.0169733703047815, 0.0012225779842608, -0.00673348484848484,
0.00246878730098194, 0.00312837375178316, 0.00596269624573382,
0.00837752238243323, 0.0117657009345796, 0.000174740439682196,
0.00637236793498341, -0.0168853812976049, -0.0196023522822738,
-0.00418927925354662, -0.0113777607801893, 0.0117988394584139,
-0.0159625310648059, -0.00485672656629432, 0.0081015129331381,
-0.0122966692486445, 0, 0.00872463483972163, 0.00242954324586986,
-0.000969461948618577, -0.0243571081999029, 0.00646508852198124,
-0.00207530388378296, 0.00148544266191308, 0.0053396618214181,
-0.00373758237434829, -0.0015796228650411, 0.0150201592010285,
-0.00293255236239658, 0.0232435417684416, -0.00125128711925919
)), class = "data.frame", row.names = c(NA, -201L))