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by Charles_gre
Mon Jan 23, 2017 2:01 am
Forum: Programming
Topic: rolling windows covariance matrix
Replies: 9
Views: 2059

Re: rolling windows covariance matrix

EViews Gareth wrote:EViews doesn't have rolling regression built in.


How can I perform lots of rolling regressions at one time?
With the add- in one can only perform one rolling regression at one time.

I have a lot of regressions which I need to roll over a fixed window size of 756 and a step size of 21.
by Charles_gre
Sun Jan 22, 2017 2:51 am
Forum: Programming
Topic: rolling windows covariance matrix
Replies: 9
Views: 2059

Re: rolling windows covariance matrix

Hi All, I have to do a lot of rolling regressions with Eviews 9. Thus I made a program which makes lots of rolling regressions all at once. As you know when one performs a rolling regression with the add-in.The estimation command is similar to the line shown hereunder: ROLL(F,WINDOW=756,STEP=21)LU05...

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