Search found 11 matches

by Mai LÊ
Sat Jun 15, 2019 8:43 pm
Forum: Programming
Topic: store constant and coefficient of rolling regression
Replies: 14
Views: 416

Re: store constant and coefficient of rolling regression

If I want to store p-value instead of t-stat, what code should I use?
by Mai LÊ
Wed May 29, 2019 12:47 am
Forum: Programming
Topic: store constant and coefficient of rolling regression
Replies: 14
Views: 416

Re: store constant and coefficient of rolling regression

This is my code to extract the coefficients and t-stat of the regression in a table. ======== for !j=1 to 28 genr strategy_rate_!j = strategy_return_!j - rate_!j genr actual_rate_!j = return_!j - rate_!j equation eq!j.ls strategy_rate_!j c actual_rate_!j matrix(28,4) alpha_beta alpha_beta(!j,1) = eq...
by Mai LÊ
Tue May 28, 2019 10:40 am
Forum: Programming
Topic: store constant and coefficient of rolling regression
Replies: 14
Views: 416

Re: store constant and coefficient of rolling regression

thanks so much for your help!
by Mai LÊ
Tue May 28, 2019 12:18 am
Forum: Programming
Topic: store constant and coefficient of rolling regression
Replies: 14
Views: 416

Re: store constant and coefficient of rolling regression

I have one more question.
The code "@coefs" is to save all coefficients of the regression.
Can we save only one coefficient and t-stat at a time?
by Mai LÊ
Tue May 28, 2019 12:08 am
Forum: Programming
Topic: store constant and coefficient of rolling regression
Replies: 14
Views: 416

Re: store constant and coefficient of rolling regression

thanks so much for your help!
by Mai LÊ
Mon May 27, 2019 8:43 am
Forum: Programming
Topic: store constant and coefficient of rolling regression
Replies: 14
Views: 416

Re: store constant and coefficient of rolling regression

Could you please help to show me how to save the t-value for each coefficient of the regression?
by Mai LÊ
Mon May 27, 2019 7:48 am
Forum: Programming
Topic: store constant and coefficient of rolling regression
Replies: 14
Views: 416

Re: store constant and coefficient of rolling regression

My regression equation: strategy_rate_!j = alpha + beta*actual_rate_!j This is my code: ======== for !j=1 to 28 genr strategy_rate_!j = strategy_return_!j - rate_!j genr actual_rate_!j = return_!j - rate_!j equation eq!j.ls strategy_rate_!j c actual_rate_!j matrix(2,28) alpha_beta colplace(alpha_bet...
by Mai LÊ
Mon May 27, 2019 7:39 am
Forum: Programming
Topic: store constant and coefficient of rolling regression
Replies: 14
Views: 416

Re: store constant and coefficient of rolling regression

I found the solution to store the constant and coefficient.
But I don't know how to store the probability/t-value for each coefficient.
by Mai LÊ
Fri May 17, 2019 4:41 am
Forum: Programming
Topic: store constant and coefficient of rolling regression
Replies: 14
Views: 416

store constant and coefficient of rolling regression

I would like to store the constant and coefficient of each rolling regression.
Could you please help me?
by Mai LÊ
Fri May 17, 2019 2:38 am
Forum: Programming
Topic: rolling regression and forecast
Replies: 2
Views: 230

Re: rolling regression and forecast

My result shows that the forecasted value is the fitted value estimated for the entire sample.
But the forecasted value at a point of time should be based on the estimators of the regression at that roll.
by Mai LÊ
Thu May 16, 2019 12:24 am
Forum: Programming
Topic: rolling regression and forecast
Replies: 2
Views: 230

rolling regression and forecast

I need to write a rolling regression and forecast for a series including data of 204 months The idea is that I divide the whole sample into 2 halves (102 months for each half). I make regression for the first half and use that estimator to forecast the first value of the second half. Then, I update ...

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