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?
Search found 5 matches
- Thu Jun 14, 2018 9:00 am
- Forum: Add-in Support
- Topic: Roll (Rolling Regression)
- Replies: 42
- Views: 115268
- Mon Jun 11, 2018 11:36 am
- Forum: Estimation
- Topic: principal component analysis to avoid multicollinearity
- Replies: 0
- Views: 2394
principal component analysis to avoid multicollinearity
Hi,
I have this problem to do PCA to deal with multicollinearity.
Any help please?
I have this problem to do PCA to deal with multicollinearity.
Any help please?
- Mon Jun 11, 2018 12:11 am
- Forum: Add-in Support
- Topic: Roll (Rolling Regression)
- Replies: 42
- Views: 115268
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?
- Sun Jun 10, 2018 10:36 pm
- Forum: Add-in Support
- Topic: ridge add-in
- Replies: 2
- Views: 5964
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?
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?
- Sun Jun 10, 2018 7:53 am
- Forum: Add-in Support
- Topic: ridge add-in
- Replies: 2
- Views: 5964
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...