I am using the rollapply function to create a rolling logit estimation. The function is doing its job properly so far, but I would now like to extract for each iteration of the data the last values of that specific window to use these for the prediction of the next following period. I tried to use a simple apply function but it seems not to work. Here is my code:
rollapply(zoo(DATASET),
width=300,
FUN = function(Z)
{
t = glm(formula= y ~ ( Sentiment-SentimentLag) + (Sentiment-SentimentLag10) + Volume , data = as.data.frame(Z),family=binomial(link='logit'));
new <- coeftest(t,vcov.=vcovHAC(t,sandwich = T))
pval <- new[,4]
#### this line does only return single values and not the vector I want
lastOb <- as.matrix(apply(Z,1,max))
},
by.column=FALSE, align="right" )
What am I doing wrong?