Search found 5 matches

by Charles_gre
Wed Mar 22, 2017 2:59 pm
Forum: Program Repository
Topic: Basic Rolling Regression
Replies: 104
Views: 114994

Re: Basic Rolling Regression

The problem is that it keeps regressing, the whole sample all at once and not performing a rolling regression of a window size of 36 and a step of 1. For example, I want to be able to regress observations 1 to 36 get the coefficients of the regression. Regress 2-37 and get the coefficients of the re...
by Charles_gre
Wed Mar 22, 2017 1:10 pm
Forum: Program Repository
Topic: Basic Rolling Regression
Replies: 104
Views: 114994

Re: Basic Rolling Regression

Thank you, but unfortunately, it is not working.

How can someone extract the point estimates? Is there a code like @coef to extract the point estimates?
by Charles_gre
Tue Mar 21, 2017 2:58 pm
Forum: Program Repository
Topic: Basic Rolling Regression
Replies: 104
Views: 114994

Re: Basic Rolling Regression

Hi I am trying to make a rolling regression with fixed window size of 36 and step of 1. Finally, I want to store the sixteen coefficients of the equation (lp40000151nwer). The code is: 'run rolling regression equation lp40000151nwer ' set window size !window = 36 ' set step size !step = 1 ' get size...
by Charles_gre
Mon Jan 23, 2017 2:01 am
Forum: Programming
Topic: rolling windows covariance matrix
Replies: 9
Views: 2163

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: 2163

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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