Search found 5 matches

by PM.GR
Tue Nov 28, 2017 3:39 am
Forum: General Information and Tips and Tricks
Topic: Rolling estimation with panel data
Replies: 6
Views: 470

Re: Rolling estimation with panel data

Sorry, Gareth. I do not understand what I am supposed to see in the discussion you refer. What I understand from the latest posts in that discussion is that rolling of the time dimension in a LS estimation, while keeping the functions and the cross-section unchanged is not an easy task. Thanks anyway.
by PM.GR
Fri Oct 20, 2017 3:17 am
Forum: General Information and Tips and Tricks
Topic: Rolling estimation with panel data
Replies: 6
Views: 470

Re: Rolling estimation with panel data

Gareth, The 'roll' add-in works fine, when I try time-series; however, trying to apply the 'roll' formula in my panel data results to an error message of the type: "Procedure cannot be run in panel workfiles". Moreover, I couldn't find the .ls command in its code. Perhaps, I should not use...
by PM.GR
Fri Oct 20, 2017 2:40 am
Forum: General Information and Tips and Tricks
Topic: Rolling estimation with panel data
Replies: 6
Views: 470

Re: Rolling estimation with panel data

Thank you Gareth. I will try that.
by PM.GR
Thu Oct 19, 2017 3:00 am
Forum: General Information and Tips and Tricks
Topic: Rolling estimation with panel data
Replies: 6
Views: 470

Re: Rolling estimation with panel data

In order to give more details: I want to capture the time-variation of the coefficients of the relationship, which involves a balanced panel data of 170 time-observations across 18 sections. Currently, I have done the time-varying coefficient estimation, only for the cross-section dimension (i.e. wi...
by PM.GR
Wed Oct 11, 2017 9:06 am
Forum: General Information and Tips and Tricks
Topic: Rolling estimation with panel data
Replies: 6
Views: 470

Rolling estimation with panel data

Hello, I have a balanced panel model, with 18 sections and 170 points in time. At its current version it is very simple, given that it only contains one explanatory and a constant. I have estimated it in constant-parameters form with system GMM FE. Now I want to lift the constant-parameters assumpti...

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