У меня есть несбалансированный набор данных панели, и я хотел бы запустить скользящие регрессии для каждой группы (ISIN) моего набора данных.
Для всего моего набора данных я пробовал следующее:
Rolling_Beta <-Beta_Data %>%
split(.$ISIN) %>%
map_df(~ {an.lm <- roll_regres(R ~ Index_Excess, data = .x, width = 12)
tidy(an.lm) %>%
mutate(ID = .x$ID)
}
)
Я получаю следующее сообщение об ошибке:
Error: No tidy method recognized for this list.
Я попытался использовать roll_regress fuctionn для набора данных, который содержит только один ISIN, и он работал нормально (я получил NA за первые 12 периодов). Код также хорошо работает с функцией lm ().
У вас есть идея, как это исправить?
Заранее благодарим за помощь!
Мои данные имеют следующую структуру:
> dput(head(Beta_Data, 100))
structure(list(ID = c("39691AT0000A09SA8", "39721AT0000A09SA8",
"39752AT0000A09SA8", "39782AT0000A09SA8", "39813AT0000A09SA8",
"39844AT0000A09SA8", "39872AT0000A09SA8", "39903AT0000A09SA8",
"39933AT0000A09SA8", "39964AT0000A09SA8", "39994AT0000A09SA8",
"40025AT0000A09SA8", "40056AT0000A09SA8", "40086AT0000A09SA8",
"40117AT0000A09SA8", "40147AT0000A09SA8", "40178AT0000A09SA8",
"40209AT0000A09SA8", "40237AT0000A09SA8", "40268AT0000A09SA8",
"40298AT0000A09SA8", "40329AT0000A09SA8", "40359AT0000A09SA8",
"40390AT0000A09SA8", "40421AT0000A09SA8", "40451AT0000A09SA8",
"40482AT0000A09SA8", "40512AT0000A09SA8", "40543AT0000A09SA8",
"40574AT0000A09SA8", "40602AT0000A09SA8", "40633AT0000A09SA8",
"40663AT0000A09SA8", "40694AT0000A09SA8", "40724AT0000A09SA8",
"40755AT0000A09SA8", "40786AT0000A09SA8", "40816AT0000A09SA8",
"40847AT0000A09SA8", "40877AT0000A09SA8", "40908AT0000A09SA8",
"40939AT0000A09SA8", "40968AT0000A09SA8", "40999AT0000A09SA8",
"41029AT0000A09SA8", "41060AT0000A09SA8", "41090AT0000A09SA8",
"41121AT0000A09SA8", "41152AT0000A09SA8", "41182AT0000A09SA8",
"41213AT0000A09SA8", "41243AT0000A09SA8", "41274AT0000A09SA8",
"41305AT0000A09SA8", "41333AT0000A09SA8", "41364AT0000A09SA8",
"41394AT0000A09SA8", "41425AT0000A09SA8", "41455AT0000A09SA8",
"41486AT0000A09SA8", "41517AT0000A09SA8", "41547AT0000A09SA8",
"41578AT0000A09SA8", "41608AT0000A09SA8", "41639AT0000A09SA8",
"41670AT0000A09SA8", "41698AT0000A09SA8", "41729AT0000A09SA8",
"41759AT0000A09SA8", "41790AT0000A09SA8", "41820AT0000A09SA8",
"41851AT0000A09SA8", "41882AT0000A09SA8", "41912AT0000A09SA8",
"41943AT0000A09SA8", "41973AT0000A09SA8", "42004AT0000A09SA8",
"42035AT0000A09SA8", "42063AT0000A09SA8", "40025AT0000A0DJE7",
"40056AT0000A0DJE7", "40086AT0000A0DJE7", "40117AT0000A0DJE7",
"40147AT0000A0DJE7", "40178AT0000A0DJE7", "40209AT0000A0DJE7",
"40237AT0000A0DJE7", "40268AT0000A0DJE7", "40298AT0000A0DJE7",
"40329AT0000A0DJE7", "40359AT0000A0DJE7", "40390AT0000A0DJE7",
"40421AT0000A0DJE7", "40451AT0000A0DJE7", "40482AT0000A0DJE7",
"40512AT0000A0DJE7", "40543AT0000A0DJE7", "40574AT0000A0DJE7",
"40602AT0000A0DJE7", "40633AT0000A0DJE7"), ISIN = c("AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A0DJE7", "AT0000A0DJE7",
"AT0000A0DJE7", "AT0000A0DJE7", "AT0000A0DJE7", "AT0000A0DJE7",
"AT0000A0DJE7", "AT0000A0DJE7", "AT0000A0DJE7", "AT0000A0DJE7",
"AT0000A0DJE7", "AT0000A0DJE7", "AT0000A0DJE7", "AT0000A0DJE7",
"AT0000A0DJE7", "AT0000A0DJE7", "AT0000A0DJE7", "AT0000A0DJE7",
"AT0000A0DJE7", "AT0000A0DJE7", "AT0000A0DJE7"), Date = structure(c(1220140800,
1222732800, 1225411200, 1228003200, 1230681600, 1233360000, 1235779200,
1238457600, 1241049600, 1243728000, 1246320000, 1248998400, 1251676800,
1254268800, 1256947200, 1259539200, 1262217600, 1264896000, 1267315200,
1269993600, 1272585600, 1275264000, 1277856000, 1280534400, 1283212800,
1285804800, 1288483200, 1291075200, 1293753600, 1296432000, 1298851200,
1301529600, 1304121600, 1306800000, 1309392000, 1312070400, 1314748800,
1317340800, 1320019200, 1322611200, 1325289600, 1327968000, 1330473600,
1333152000, 1335744000, 1338422400, 1341014400, 1343692800, 1346371200,
1348963200, 1351641600, 1354233600, 1356912000, 1359590400, 1362009600,
1364688000, 1367280000, 1369958400, 1372550400, 1375228800, 1377907200,
1380499200, 1383177600, 1385769600, 1388448000, 1391126400, 1393545600,
1396224000, 1398816000, 1401494400, 1404086400, 1406764800, 1409443200,
1412035200, 1414713600, 1417305600, 1419984000, 1422662400, 1425081600,
1248998400, 1251676800, 1254268800, 1256947200, 1259539200, 1262217600,
1264896000, 1267315200, 1269993600, 1272585600, 1275264000, 1277856000,
1280534400, 1283212800, 1285804800, 1288483200, 1291075200, 1293753600,
1296432000, 1298851200, 1301529600), tzone = "UTC", class = c("POSIXct",
"POSIXt")), R = c(-0.219, -1.465, 0.883, -0.912, -17.82, 3.123,
-2.426, -7.298, 5.026, 6.798, 3.128, 1.079, 0.953, 0.704, 3.815,
1.685, -0.465, 2.076, -0.182, 0.054, 0.614, -1.607, 0.314, 1.29,
-0.184, 0.261, 1.188, 0.745, 3.317, 0.672, 1.389, 1.885, -0.303,
0.048, 0.282, -1.915, -2.05, -3.222, -0.286, 0.156, -1.206, 1.228,
0.82, 1.677, 0.246, 0.086, 2.197, -0.76, -1.421, 2.627, 1.043,
2.472, 1.082, 1.882, -1.477, 0.246, 2.642, 2.409, 0.102, -0.227,
0.263, 1.232, 1.013, 0.309, 1.071, 0.14, 0.121, 0.909, 1.636,
0.437, 0.037, 0.514, -0.485, 0.39, 0.867, 1.42, 0.242, 0.165,
0.431, 0.198, 0.24, 0.105, -0.159, -0.087, 0.379, -0.007, 0.931,
0.347, -0.155, -0.694, 0.193, 0.653, 0.075, 0.114, 0.326, -0.262,
-0.011, 0.516, 0.097, 0.964), Index_Excess = c(-0.194337988133531,
-5.85997181126693, -4.58320466137263, -1.33117502690739, -0.738606612923793,
0.594146353430562, -1.53139911378708, -0.693969045105763, 3.3135882803316,
3.29789961666721, 1.51240351975542, 2.82136653399893, 1.0434077986218,
1.35250206743546, 0.706729057303316, 0.0243383699977176, 0.573509251768456,
0.683958552911387, -0.242635931645375, 1.05572943737376, -0.174848985881244,
-2.38344328172148, -0.0395356334035035, 1.83984532512583, -0.110536202310384,
0.6973190606596, 0.787173010333793, -1.55907741248151, 0.375960357667791,
1.02551378760437, 0.683184596171104, 0.391613955659577, 0.477564254944654,
-0.152852521815487, -0.680128626839221, -1.07313148951847, -3.413223646125,
-2.182301557984, 2.25230615012617, -3.0737924615125, 1.17046445503577,
2.73456597012486, 1.96280479805482, 0.899836327222587, -0.619978544686847,
-1.18002375112029, 1.06707395612221, 1.06493758744765, 1.35916110533946,
1.0989262064832, 1.18241906871096, 0.640589695930629, 0.721676469312997,
0.255146907263141, 0.126463741489553, -0.0455650529007166, 1.3734235313728,
0.544285935345139, -0.938511109175037, 0.690707881814401, 0.420251480091038,
0.18270098540776, 0.851054692176909, 0.354151831616529, -0.0987011099768816,
-0.136209318821236, 0.684032952781588, 0.283340041653178, 0.580450027840062,
0.21527823346391, 0.233118183302106, 0.0799467721150942, 0.18744955249014,
-0.113856682473131, 0.18320875428828, 0.220697479287395, -0.218416007313332,
0.0534875396740212, 0.776644029664596, 2.82136653399893, 1.0434077986218,
1.35250206743546, 0.706729057303316, 0.0243383699977176, 0.573509251768456,
0.683958552911387, -0.242635931645375, 1.05572943737376, -0.174848985881244,
-2.38344328172148, -0.0395356334035035, 1.83984532512583, -0.110536202310384,
0.6973190606596, 0.787173010333793, -1.55907741248151, 0.375960357667791,
1.02551378760437, 0.683184596171104, 0.391613955659577), Anzahl = c(79,
79, 79, 79, 79, 79, 79, 79, 79, 79, 79, 79, 79, 79, 79, 79, 79,
79, 79, 79, 79, 79, 79, 79, 79, 79, 79, 79, 79, 79, 79, 79, 79,
79, 79, 79, 79, 79, 79, 79, 79, 79, 79, 79, 79, 79, 79, 79, 79,
79, 79, 79, 79, 79, 79, 79, 79, 79, 79, 79, 79, 79, 79, 79, 79,
79, 79, 79, 79, 79, 79, 79, 79, 79, 79, 79, 79, 79, 79, 47, 47,
47, 47, 47, 47, 47, 47, 47, 47, 47, 47, 47, 47, 47, 47, 47, 47,
47, 47, 47)), row.names = c(NA, -100L), class = c("tbl_df", "tbl",
"data.frame"))
> dput(head(Beta_Data, 100))
structure(list(ID = c("39691AT0000A09SA8", "39721AT0000A09SA8",
"39752AT0000A09SA8", "39782AT0000A09SA8", "39813AT0000A09SA8",
"39844AT0000A09SA8", "39872AT0000A09SA8", "39903AT0000A09SA8",
"39933AT0000A09SA8", "39964AT0000A09SA8", "39994AT0000A09SA8",
"40025AT0000A09SA8", "40056AT0000A09SA8", "40086AT0000A09SA8",
"40117AT0000A09SA8", "40147AT0000A09SA8", "40178AT0000A09SA8",
"40209AT0000A09SA8", "40237AT0000A09SA8", "40268AT0000A09SA8",
"40298AT0000A09SA8", "40329AT0000A09SA8", "40359AT0000A09SA8",
"40390AT0000A09SA8", "40421AT0000A09SA8", "40451AT0000A09SA8",
"40482AT0000A09SA8", "40512AT0000A09SA8", "40543AT0000A09SA8",
"40574AT0000A09SA8", "40602AT0000A09SA8", "40633AT0000A09SA8",
"40663AT0000A09SA8", "40694AT0000A09SA8", "40724AT0000A09SA8",
"40755AT0000A09SA8", "40786AT0000A09SA8", "40816AT0000A09SA8",
"40847AT0000A09SA8", "40877AT0000A09SA8", "40908AT0000A09SA8",
"40939AT0000A09SA8", "40968AT0000A09SA8", "40999AT0000A09SA8",
"41029AT0000A09SA8", "41060AT0000A09SA8", "41090AT0000A09SA8",
"41121AT0000A09SA8", "41152AT0000A09SA8", "41182AT0000A09SA8",
"41213AT0000A09SA8", "41243AT0000A09SA8", "41274AT0000A09SA8",
"41305AT0000A09SA8", "41333AT0000A09SA8", "41364AT0000A09SA8",
"41394AT0000A09SA8", "41425AT0000A09SA8", "41455AT0000A09SA8",
"41486AT0000A09SA8", "41517AT0000A09SA8", "41547AT0000A09SA8",
"41578AT0000A09SA8", "41608AT0000A09SA8", "41639AT0000A09SA8",
"41670AT0000A09SA8", "41698AT0000A09SA8", "41729AT0000A09SA8",
"41759AT0000A09SA8", "41790AT0000A09SA8", "41820AT0000A09SA8",
"41851AT0000A09SA8", "41882AT0000A09SA8", "41912AT0000A09SA8",
"41943AT0000A09SA8", "41973AT0000A09SA8", "42004AT0000A09SA8",
"42035AT0000A09SA8", "42063AT0000A09SA8", "40025AT0000A0DJE7",
"40056AT0000A0DJE7", "40086AT0000A0DJE7", "40117AT0000A0DJE7",
"40147AT0000A0DJE7", "40178AT0000A0DJE7", "40209AT0000A0DJE7",
"40237AT0000A0DJE7", "40268AT0000A0DJE7", "40298AT0000A0DJE7",
"40329AT0000A0DJE7", "40359AT0000A0DJE7", "40390AT0000A0DJE7",
"40421AT0000A0DJE7", "40451AT0000A0DJE7", "40482AT0000A0DJE7",
"40512AT0000A0DJE7", "40543AT0000A0DJE7", "40574AT0000A0DJE7",
"40602AT0000A0DJE7", "40633AT0000A0DJE7"), ISIN = c("AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8", "AT0000A09SA8",
"AT0000A09SA8", "AT0000A09SA8", "AT0000A0DJE7", "AT0000A0DJE7",
"AT0000A0DJE7", "AT0000A0DJE7", "AT0000A0DJE7", "AT0000A0DJE7",
"AT0000A0DJE7", "AT0000A0DJE7", "AT0000A0DJE7", "AT0000A0DJE7",
"AT0000A0DJE7", "AT0000A0DJE7", "AT0000A0DJE7", "AT0000A0DJE7",
"AT0000A0DJE7", "AT0000A0DJE7", "AT0000A0DJE7", "AT0000A0DJE7",
"AT0000A0DJE7", "AT0000A0DJE7", "AT0000A0DJE7"), Date = structure(c(1220140800,
1222732800, 1225411200, 1228003200, 1230681600, 1233360000, 1235779200,
1238457600, 1241049600, 1243728000, 1246320000, 1248998400, 1251676800,
1254268800, 1256947200, 1259539200, 1262217600, 1264896000, 1267315200,
1269993600, 1272585600, 1275264000, 1277856000, 1280534400, 1283212800,
1285804800, 1288483200, 1291075200, 1293753600, 1296432000, 1298851200,
1301529600, 1304121600, 1306800000, 1309392000, 1312070400, 1314748800,
1317340800, 1320019200, 1322611200, 1325289600, 1327968000, 1330473600,
1333152000, 1335744000, 1338422400, 1341014400, 1343692800, 1346371200,
1348963200, 1351641600, 1354233600, 1356912000, 1359590400, 1362009600,
1364688000, 1367280000, 1369958400, 1372550400, 1375228800, 1377907200,
1380499200, 1383177600, 1385769600, 1388448000, 1391126400, 1393545600,
1396224000, 1398816000, 1401494400, 1404086400, 1406764800, 1409443200,
1412035200, 1414713600, 1417305600, 1419984000, 1422662400, 1425081600,
1248998400, 1251676800, 1254268800, 1256947200, 1259539200, 1262217600,
1264896000, 1267315200, 1269993600, 1272585600, 1275264000, 1277856000,
1280534400, 1283212800, 1285804800, 1288483200, 1291075200, 1293753600,
1296432000, 1298851200, 1301529600), tzone = "UTC", class = c("POSIXct",
"POSIXt")), R = c(-0.219, -1.465, 0.883, -0.912, -17.82, 3.123,
-2.426, -7.298, 5.026, 6.798, 3.128, 1.079, 0.953, 0.704, 3.815,
1.685, -0.465, 2.076, -0.182, 0.054, 0.614, -1.607, 0.314, 1.29,
-0.184, 0.261, 1.188, 0.745, 3.317, 0.672, 1.389, 1.885, -0.303,
0.048, 0.282, -1.915, -2.05, -3.222, -0.286, 0.156, -1.206, 1.228,
0.82, 1.677, 0.246, 0.086, 2.197, -0.76, -1.421, 2.627, 1.043,
2.472, 1.082, 1.882, -1.477, 0.246, 2.642, 2.409, 0.102, -0.227,
0.263, 1.232, 1.013, 0.309, 1.071, 0.14, 0.121, 0.909, 1.636,
0.437, 0.037, 0.514, -0.485, 0.39, 0.867, 1.42, 0.242, 0.165,
0.431, 0.198, 0.24, 0.105, -0.159, -0.087, 0.379, -0.007, 0.931,
0.347, -0.155, -0.694, 0.193, 0.653, 0.075, 0.114, 0.326, -0.262,
-0.011, 0.516, 0.097, 0.964), Index_Excess = c(-0.194337988133531,
-5.85997181126693, -4.58320466137263, -1.33117502690739, -0.738606612923793,
0.594146353430562, -1.53139911378708, -0.693969045105763, 3.3135882803316,
3.29789961666721, 1.51240351975542, 2.82136653399893, 1.0434077986218,
1.35250206743546, 0.706729057303316, 0.0243383699977176, 0.573509251768456,
0.683958552911387, -0.242635931645375, 1.05572943737376, -0.174848985881244,
-2.38344328172148, -0.0395356334035035, 1.83984532512583, -0.110536202310384,
0.6973190606596, 0.787173010333793, -1.55907741248151, 0.375960357667791,
1.02551378760437, 0.683184596171104, 0.391613955659577, 0.477564254944654,
-0.152852521815487, -0.680128626839221, -1.07313148951847, -3.413223646125,
-2.182301557984, 2.25230615012617, -3.0737924615125, 1.17046445503577,
2.73456597012486, 1.96280479805482, 0.899836327222587, -0.619978544686847,
-1.18002375112029, 1.06707395612221, 1.06493758744765, 1.35916110533946,
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