Any chance to get back roll_eigen, roll_vif, and roll_pcr?

[SamoPP]

Thanks for this very powerful package.

Would it be possible to add back roll_eigen, roll_vif, and roll_pcr?

Thanks.

[jasonjfoster]

Thanks! I removed those functions for a few reasons. First, I surveyed other rolling packages and found out the functions that were most common. Not only did that reveal the functions I removed were not common (or even available in other packages), it also highlighted a few gaps that need to be addressed instead (see #4). Second, I ran a cost-benefit analysis for each function and concluded there was low marginal benefit to some of these functions, especially when the roll package does most of the heavy-lifting and actually gives you the necessary inputs to use in another function. For example, you can run eigen on the outputs from roll_cov or transform the r-squareds from roll_lm to get the same results as roll_eigen and roll_vif, respectively. Finally, I increased the standards of my unit tests and felt more comfortable using base functions for that part of the process, and also improves consistency. For these reasons, I don’t have plans to include those functions in the roll package. That being said, the source is archived and available on CRAN, if needed: https://cran.r-project.org/src/contrib/Archive/roll/

[kismsu]

Shame, just remembered about your R/Finance presentation and wanted to use roll_pcr