Search found 5 matches

by enricodace
Thu Jun 14, 2018 9:00 am
Forum: Add-in Support
Topic: Roll (Rolling Regression)
Replies: 37
Views: 30602

Re: Roll (Rolling Regression)

Dear Gareth,
I have downloaded a rolling add_in.
I did it, it seems working but when i checking results the rolling estimate is just an exact copy of the one with out rolling? what could be the problem and why?
by enricodace
Mon Jun 11, 2018 11:36 am
Forum: Estimation
Topic: principal component analysis to avoid multicollinearity
Replies: 0
Views: 214

principal component analysis to avoid multicollinearity

Hi,
I have this problem to do PCA to deal with multicollinearity.
Any help please?
by enricodace
Mon Jun 11, 2018 12:11 am
Forum: Add-in Support
Topic: Roll (Rolling Regression)
Replies: 37
Views: 30602

Re: Roll (Rolling Regression)

which methods is suitable to detect multicollinearity under rolling regression? Nither VIF nor correlation plot isn't working for rollings. Any idea please?
by enricodace
Sun Jun 10, 2018 10:36 pm
Forum: Add-in Support
Topic: ridge add-in
Replies: 2
Views: 210

Re: ridge add-in

Even without a rolling, it is not working.
With codes, does the ridge works?
One more to ask is, Does the principal component analysis works for rolling?
If not, under rolling basis what do you recomment inorder to deal with a multicollinearity?
by enricodace
Sun Jun 10, 2018 7:53 am
Forum: Add-in Support
Topic: ridge add-in
Replies: 2
Views: 210

ridge add-in

Hi Gareth, I have successfully done a rolling general method of moment(gmm) estimation. I have observed that there is a multicollinearity in my data. I would like to go for a ridge regression. I have downloaded the add_in and follow the steps below. -) Click 'new object' and go through to have a 'ri...

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