the rolling regression in R using roll apply

Question

My imported data contains 7 variables: Y and X1, X2, X3, X4, X5, X6. I tried apply

Answer 1

It is not really clear what your data actually is (use dput(example_data) to give reproducible examples).

But the lm call in your example is simply doing the same regression over and over again (your x is not changing) and as josilber points out, it is supposed to be a function. Here is an example where all the data is in the data.frame allRegData and it has at least two columns, one named y and another named x:

require(zoo)
rollapply(zoo(allRegData),
          width=262,
          FUN = function(Z) 
          { 
             t = lm(formula=y~x, data = as.data.frame(Z), na.rm=T); 
             return(t$coef) 
          },
          by.column=FALSE, align="right")