Search found 12 matches
- Sun Aug 12, 2012 12:32 pm
- Forum: Programming
- Topic: Help with final adjustment of program
- Replies: 2
- Views: 5026
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 !...
- Sat Aug 11, 2012 4:03 am
- Forum: Programming
- Topic: Recursive forecasting
- Replies: 14
- Views: 28845
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...
- Fri Aug 10, 2012 5:10 am
- Forum: Programming
- Topic: Recursive forecasting
- Replies: 14
- Views: 28845
Re: Recursive forecasting
Hi,
May I ask how you anchor the start date.
Best
May I ask how you anchor the start date.
Best
- Thu Aug 09, 2012 10:39 am
- Forum: Program Repository
- Topic: Basic Rolling Regression
- Replies: 134
- Views: 3879000
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...
- Wed Aug 08, 2012 8:01 am
- Forum: Programming
- Topic: Max and min values
- Replies: 1
- Views: 3515
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
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
- Wed Aug 08, 2012 4:53 am
- Forum: Programming
- Topic: Help with final adjustment of program
- Replies: 2
- Views: 5026
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...
- Sun Aug 05, 2012 3:20 pm
- Forum: Estimation
- Topic: Recursive modelling approach
- Replies: 11
- Views: 16591
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
- Sun Aug 05, 2012 1:46 am
- Forum: Estimation
- Topic: Recursive modelling approach
- Replies: 11
- Views: 16591
Re: Recursive modelling approach
Could you please refer to an example I could look at?
Best,
Rouzbeh
Best,
Rouzbeh
- Sat Aug 04, 2012 5:08 pm
- Forum: Estimation
- Topic: Recursive modelling approach
- Replies: 11
- Views: 16591
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. ...
- Sat Aug 04, 2012 1:52 am
- Forum: Estimation
- Topic: Recursive modelling approach
- Replies: 11
- Views: 16591
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...
- Fri Aug 03, 2012 5:07 pm
- Forum: Estimation
- Topic: Recursive modelling approach
- Replies: 11
- Views: 16591
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...
- Fri Aug 03, 2012 4:33 pm
- Forum: Estimation
- Topic: Recursive modelling approach
- Replies: 11
- Views: 16591