I have this zoo series.
> str(ALLXbm)
‘zoo’ series from 1998-01-01 to 2017-12-01
Data: num [1:240, 1:19] 0.00289 0.00992 -0.00424 0.07958 -0.035 ...
- attr(*, "dimnames")=List of 2
..$ : NULL
..$ : chr [1:19] "DE" "DB" "DM" "IE" ...
Index: Date[1:240], format: "1998-01-01" "1998-02-01" "1998-03-01" "1998-04-01" "1998-05-01" "1998-06-01" "1998-07-01" ...
I wanted a gmm rolling regression and i set up the below code.
dogmm <- function(x) coef(gmm(ALLX$DE~ ALLX$SMB_L, x = ALLXbm))
kk=rollapply(dogmm, ALLXbm,width=24, by.column = FALSE)
Error message is
`Error in zoo(data) : “x” : attempt to define invalid zoo object`
I really can't figure out even if i spent much time. when i tried the gmm code alone, it does work
gmm(ALLXbm$DE~ ALLXbm$SMB_L, x = ALLXbm). I'm thinking that, the problem is in the rollapply code. I'm sorry this's my first attempt to GMM. Please some help?