rolling regression program
Posted: Tue Sep 20, 2011 9:42 am
Hello,
I was hoping if any of you could help me with my problem. I am quite new to eviews programing but i managed to program rolling regression for my forecast, but when i run it i the results I am getting are pretty strange, firstly the equation I am getting has very large (in absolute terms) t statistics and my R^2 ( also adjusted ) is equall to 1 , then when i do the forecast from this equation I m just getting back 3 dots in the graph coresponding to one date, also I dont get statistics like MAE etc back. Here is the program I am using:
smpl @all
scalar n =@obs(hml)
scalar window = 60
series hml
equation e
for !i=0 to n-window-1
smpl @first+!i @first+!i+window-1
e.ls hml c erp tb3m yieldspr(-1) defspr credspr(-2)
smpl @first+!i+window @first+!i+window
hml =@coefs(1) +@coefs(2)*erp + @coefs(3)*tb3m +@coefs(4)*yieldspr(-1) + @coefs(5)*defspr +@coefs(6)*credspr(-2)
next
delete window n
I would highly appreciate if any of you could help me!
Thanks!
I was hoping if any of you could help me with my problem. I am quite new to eviews programing but i managed to program rolling regression for my forecast, but when i run it i the results I am getting are pretty strange, firstly the equation I am getting has very large (in absolute terms) t statistics and my R^2 ( also adjusted ) is equall to 1 , then when i do the forecast from this equation I m just getting back 3 dots in the graph coresponding to one date, also I dont get statistics like MAE etc back. Here is the program I am using:
smpl @all
scalar n =@obs(hml)
scalar window = 60
series hml
equation e
for !i=0 to n-window-1
smpl @first+!i @first+!i+window-1
e.ls hml c erp tb3m yieldspr(-1) defspr credspr(-2)
smpl @first+!i+window @first+!i+window
hml =@coefs(1) +@coefs(2)*erp + @coefs(3)*tb3m +@coefs(4)*yieldspr(-1) + @coefs(5)*defspr +@coefs(6)*credspr(-2)
next
delete window n
I would highly appreciate if any of you could help me!
Thanks!