tmbeta

swordfish.function.tmbeta()

Calculate the coefficient estimate of an ordinary-least-squares regression of Y on X in a sliding window.

Parameters:

• T (Constant) – A non-strictly increasing vector of temporal or integral type. It cannot contain null values.

• Y (Constant) – A vector of the same size as T.

• X (Constant) – A vector of the same size as T.

• window (Constant) – A scalar of positive integer or DURATION type indicating the size of the sliding window.