Search found 12 matches

by RouzbehR
Sun Aug 12, 2012 12:32 pm
Forum: Programming
Topic: Help with final adjustment of program
Replies: 2
Views: 847

Re: Help with final adjustment of program

Dear All, Can please someone approve that the program below does what I need it to do? I need it to do a 1 period recursive regression and save all the forecasted values. My window is correct, it is just the parts with otod I need to make sure are correct. 'run rolling regression ' set window size !...
by RouzbehR
Sat Aug 11, 2012 4:03 am
Forum: Programming
Topic: Recursive forecasting
Replies: 14
Views: 9078

Re: Recursive forecasting

Thank you so much for your reply. I changed this this: ' set sample for estimation period %first = @otod(@dtoo(%start)+!i-1) %last = @otod(@dtoo(%start)+!i+!window-2) smpl {%first} {%last} To this: ' set sample for estimation period %first = @otod(@dtoo(%start)) %last = @otod(@dtoo(%start)+!i+!windo...
by RouzbehR
Fri Aug 10, 2012 5:10 am
Forum: Programming
Topic: Recursive forecasting
Replies: 14
Views: 9078

Re: Recursive forecasting

Hi,

May I ask how you anchor the start date.

Best
by RouzbehR
Thu Aug 09, 2012 10:39 am
Forum: Program Repository
Topic: Basic Rolling Regression
Replies: 133
Views: 165367

Re: Basic Rolling Regression

Dear all, I am doing a recursive regression modelling and I do not know how to fix the starting date so it does forecasting recursively and not rolling. And I need to know how I can put the first 10 years as the forecasting period. I have data from 1980(1) to 2011(12) and I need it to use 1980(1) to...
by RouzbehR
Wed Aug 08, 2012 8:01 am
Forum: Programming
Topic: Max and min values
Replies: 1
Views: 588

Max and min values

Dear All,

Is it possible to put a show command of the end of a program? so when you run the program the max value of a vector you made in the program shows.

Best
by RouzbehR
Wed Aug 08, 2012 4:53 am
Forum: Programming
Topic: Help with final adjustment of program
Replies: 2
Views: 847

Help with final adjustment of program

Dear All, I have this program and I need help with a little adjustment. This program is suppose to first run a combination of dependent variable and independent variables and then it do a recursive regression. So when it runs the combination it saves all the rbar-squared, BIC and AIC values. it is s...
by RouzbehR
Sun Aug 05, 2012 3:20 pm
Forum: Estimation
Topic: Recursive modelling approach
Replies: 11
Views: 2489

Re: Recursive modelling approach

Dear, I have the two codes below and I need to combine these two codes such that I do a recursive forecasting but for all the combinations of the variables using the excess return as the dependent variable. Do you think you can help me with putting these two together? I appreciate your help. Best
by RouzbehR
Sun Aug 05, 2012 1:46 am
Forum: Estimation
Topic: Recursive modelling approach
Replies: 11
Views: 2489

Re: Recursive modelling approach

Could you please refer to an example I could look at?

Best,

Rouzbeh
by RouzbehR
Sat Aug 04, 2012 5:08 pm
Forum: Estimation
Topic: Recursive modelling approach
Replies: 11
Views: 2489

Re: Recursive modelling approach

Dear Gareth, I found out what I needed to do and I managed to program it. Here is the program and my data. So what I am doing here is that I am running regressions with each combination possible and using the excess return as the dependent variable. So at each time I will have 512 models to handle. ...
by RouzbehR
Sat Aug 04, 2012 1:52 am
Forum: Estimation
Topic: Recursive modelling approach
Replies: 11
Views: 2489

Re: Recursive modelling approach

Dear Gareth, You are absolutely correct. But I have nine variables so for each month I will have 512 univariate regressions and each of them have to be forecasted recursivly. Is it possible to make a program where I do everything under the same loop or should I just run a recursive forecast for each...
by RouzbehR
Fri Aug 03, 2012 5:07 pm
Forum: Estimation
Topic: Recursive modelling approach
Replies: 11
Views: 2489

Re: Recursive modelling approach

Thank you so much for you reply. I have nine variables in total. So for first month I am forecasting all the variables against each other. Let me give you an example. Let say I have variable a, b and c. For first month I will be using data from 1980(1) to 1989(12) and forecast 1990(1). I will run an...
by RouzbehR
Fri Aug 03, 2012 4:33 pm
Forum: Estimation
Topic: Recursive modelling approach
Replies: 11
Views: 2489

Recursive modelling approach

hello

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