Search found 6 matches

by Alice Thai
Tue Apr 25, 2017 1:18 am
Forum: Program Repository
Topic: Basic Rolling Regression
Replies: 133
Views: 139498

Re: Basic Rolling Regression

Dear The Yoyo, thank you so much, I am making progress on this, I have successfully created the rolling window. However, another problem arises since the result only displays around 250 observations (I have attached an image for the issue, I think this could be my data is pooled panel data so the p...
by Alice Thai
Sun Apr 23, 2017 1:02 pm
Forum: Program Repository
Topic: Basic Rolling Regression
Replies: 133
Views: 139498

Re: Basic Rolling Regression

Dear The Yoyo, thank you so much, I am making progress on this, I have successfully created the rolling window. However, another problem arises since the result only displays around 250 observations (I have attached an image for the issue, I think this could be my data is pooled panel data so the pr...
by Alice Thai
Sun Apr 23, 2017 9:14 am
Forum: Program Repository
Topic: Basic Rolling Regression
Replies: 133
Views: 139498

Re: Basic Rolling Regression

You should set the "3" in the part that reads: 'matrix to store coefficient estimates matrix(3,!nrolls) coefmat ' where 3 is the number of coefficients to the actual number of coefficients you estimate in your equation "eq1.LS(WGT=CXSUR) (SPOT(-1)-SPOT) C (FORWARD-SPOT)" By the ...
by Alice Thai
Sat Apr 22, 2017 1:15 pm
Forum: Program Repository
Topic: Basic Rolling Regression
Replies: 133
Views: 139498

Re: Basic Rolling Regression

This is my code so far, but when I press enter, a notification pops up "COEFMAT is not defined". What should I do in this situation? By the way, I want to show the rolling graph for my coefficent as well, what should I add in my code? Thank you. 'run rolling regression ' set window size !w...
by Alice Thai
Fri Apr 21, 2017 8:49 am
Forum: Program Repository
Topic: Basic Rolling Regression
Replies: 133
Views: 139498

Re: Basic Rolling Regression

What exactly are you looking for? Forecasts? Or just repeated GLS estimations? It would be easier if you could provide the code you have written so far (or look for a example of a code in this forum). Hi, I just want to repeat the estimation the see how the coefficient change over the tested period...
by Alice Thai
Fri Apr 21, 2017 8:07 am
Forum: Program Repository
Topic: Basic Rolling Regression
Replies: 133
Views: 139498

Re: Basic Rolling Regression

Hello, In my dissertation, I want to apply the rolling coefficient for 5-year window (my data is monthly so window size = 60), and step size = 1. Could someone please help me how can i perform the test for pooled panel data (consist of 8 countries) using fixed effect and GLS weight method is Cross s...

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