Is there a _fast_ way to run a rolling regression inside data.table?

Question

I am running rolling regressions in R, using with the data stored in a data.table.

I have a working version, however it feels like a hack -- I

Answer 1

Not as far as I know; data.table doesn't have any special features for rolling windows. Other packages already implement rolling functionality on vectors, so they can be used in the j of data.table. If they are not efficient enough, and no package has faster versions (?), then it's a case of writing faster versions yourself and (of course) contributing them: either to an existing package or creating your own.

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