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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 !...

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...

Hi,

May I ask how you anchor the start date.

Best

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...

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

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...

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

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

Best,

Rouzbeh

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. ...

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...

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...

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