title: the rolling regression in R using roll apply
body: <p>My imported data contains 7 variables: <code>Y</code> and <code>X1</code>, <code>X2</code>, <code>X3</code>, <code>X4</code>, <code>X5</code>, <code>X6</code>. I tried applying the <code>rollapply</code> function in <code>zoo</code> in order to run a rolling regression within an in-sample with a window of 262 obs. (work days in a year). </p>
  
  <pre><code>         date             Y            X1            X2
  1     10/1/07 -0.0080321720  4.690734e-03  3.333770e-03
  2     10/2/07  0.0000000000 -2.818413e-03  5.418223e-03
  3     10/3/07  0.0023158650 -4.178744e-03 -3.821100e-04
  4     10/4/07 -0.0057491710 -5.071030e-03 -8.321550e-04
  5     10/5/07  0.0073570500  3.065045e-03  5.179574e-03
  6     10/8/07  0.0127708010 -7.278513e-03  1.145395e-03
  7     10/9/07  0.0032661980  9.692267e-03  6.514035e-03
  8    10/10/07  0.0013824430  1.161780e-04  2.676416e-03
  9    10/11/07  0.0026607550  1.113179e-02  8.825719e-03
  10   10/12/07 -0.0046362600 -2.453561e-03 -6.584070e-03
  11   10/15/07 -0.0023757680 -7.829081e-03 -3.070540e-03
  12   10/16/07 -0.0128673660 -4.619378e-03 -8.972126e-03
  13   10/17/07  0.0016049760  1.276695e-03  5.349316e-03
  14   10/18/07 -0.0044198970 -9.018499e-03 -1.215895e-02
  15   10/19/07 -0.0011080330 -5.328661e-03 -7.131916e-03
  16   10/22/07 -0.0024217970 -2.019539e-02 -2.021072e-02
  17   10/23/07  0.0031270520  1.668604e-02  2.236130e-02
  18   10/24/07 -0.0040367400 -1.061433e-02 -5.735703e-03
  19   10/25/07  0.0001011170  1.346312e-02  1.036109e-02
  20   10/26/07  0.0003032910  3.766526e-03  2.903628e-03
  21   10/29/07  0.0004042450  1.416406e-02  2.527754e-03
  22   10/30/07 -0.0012132240 -1.387166e-03 -8.202236e-03
  23   10/31/07  0.0057497510  9.593904e-03  1.433401e-02
  24    11/1/07 -0.0032238590 -1.648975e-02 -1.029199e-02
  25    11/2/07 -0.0031330560 -7.737784e-03 -7.559498e-03
  26    11/5/07 -0.0001012300 -7.877763e-03 -8.500554e-03
  27    11/6/07 -0.0004050220  7.407770e-03  2.536320e-03
  28    11/7/07 -0.0031444970 -5.904219e-03 -8.026064e-03
  29    11/8/07 -0.0045822590 -3.712574e-03 -6.395584e-03
  30    11/9/07  0.0016316540 -1.432552e-02 -1.741458e-02
  31   11/12/07 -0.0019378860 -3.926583e-03 -4.543370e-03
  32   11/13/07  0.0011223920 -1.952799e-03 -2.622112e-03
  33   11/14/07  0.0008154940  8.687550e-06  1.085682e-03
  34   11/15/07  0.0015272620 -1.549745e-02 -1.556172e-02
  35   11/16/07 -0.0001017450 -5.578556e-03 -1.432244e-02
  36   11/19/07  0.0014234880 -2.206707e-02 -3.537936e-02
  37   11/20/07 -0.0010165700  1.643937e-02  5.140822e-03
  38   11/21/07 -0.0008140010 -1.715961e-02 -2.756704e-02
  39   11/22/07 -0.0008146640 -2.108098e-03  7.455698e-03
  40   11/23/07  0.0008146640  1.266776e-02  1.615338e-02
  41   11/26/07  0.0008140010  5.539814e-03  2.854080e-03
  42   11/27/07  0.0006100660 -8.561106e-03 -9.720505e-03
  43   11/28/07 -0.0015258640  3.392103e-02  2.132374e-02
  44   11/29/07 -0.0006109980  6.109848e-03  1.045556e-02
  45   11/30/07  0.0004073730  9.214342e-03  1.133690e-02
  46    12/3/07 -0.0002036660 -7.006415e-03 -6.079820e-04
  47    12/4/07  0.0002036660 -1.187605e-02 -2.554853e-02
  48    12/5/07  0.0007125040  1.362121e-02  9.525618e-03
  49    12/6/07 -0.0034655010  7.917348e-03  5.252105e-03
  50    12/7/07  0.0018361730 -1.026832e-02  1.216898e-02
  51   12/10/07  0.0013240310  3.347302e-03  1.143687e-02
  52   12/11/07  0.0005087760 -3.433720e-03  2.373558e-03
  53   12/12/07  0.0024385300  5.507930e-04  3.191504e-03
  54   12/13/07 -0.0115336820 -1.793698e-02 -2.149447e-02
  55   12/14/07 -0.0010271160 -2.307745e-03 -1.038483e-03
  56   12/17/07 -0.0033969870 -1.822079e-02 -2.920662e-02
  57   12/18/07  0.0000000000 -1.873297e-03 -7.061215e-03
  58   12/19/07 -0.0004125410 -3.372400e-06 -7.879850e-03
  59   12/20/07  0.0008249120 -6.227957e-03 -1.752460e-04
  60   12/21/07 -0.0020635580  1.734991e-02  1.348190e-02
  61   12/24/07  0.0003098050  0.000000e+00  0.000000e+00
  62   12/25/07  0.0000000000  0.000000e+00  0.000000e+00
  63   12/26/07  0.0001032470  0.000000e+00  0.000000e+00
  64   12/27/07  0.0006192590  5.006783e-03  5.274480e-03
  65   12/28/07 -0.0005160230  6.428153e-03  8.557260e-03
  66   12/31/07  0.0000000000  0.000000e+00  0.000000e+00
  67     1/1/08  0.0002064410  0.000000e+00  0.000000e+00
  68     1/2/08 -0.0009293200 -6.023384e-03 -3.104400e-03
  69     1/3/08  0.0027853730 -2.302511e-03 -2.759650e-03
  70     1/4/08  0.0018526150 -2.149450e-02 -2.645257e-02
  71     1/7/08 -0.0005142710 -4.445206e-03 -2.117698e-
  
  1596          &lt;NA&gt;         &lt;NA&gt;          &lt;NA&gt;             
  </code></pre>
  
  <p>the last line for some reason doesn't show the values,even though there are in the original excel file(X3,X4,X5,X6 are missing,since the columns are stacked on top of each other,I copied the batch from the top for the example.</p>
  
  <p>My code is: </p>
  
  <pre><code>rollapply(ts, 262, lm(
            Y~X1+X2+X3+X4+X5+X6+0, subset=1:floor(length(x)/2)), 
            align="right")
  </code></pre>
  
  <p>The error message I get is:</p>
  
  <pre><code>Error in eval(expr, envir, enclos) : object 'Y' not found
  </code></pre>
  
  <p>I really wonder why it can not find the <code>Y</code> variable, since it is displayed in the time series dataset with the appropriate heading.</p>