Basic Rolling Regression

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The Yoyo
Posts: 9
Joined: Thu Apr 04, 2013 2:30 pm

Re: Basic Rolling Regression

Postby The Yoyo » Mon Apr 24, 2017 2:08 am

Alice Thai wrote:Dear The Yoyo, thank you so much, I am making progress on this, I have successfully created the rolling window. However, another problem arises since the result only displays around 250 observations (I have attached an image for the issue, I think this could be my data is pooled panel data so the program can only run smoothly for the 170 observations of the first country.). In addition, I want to estimate the change of the coefficients over the time series, so is there any way to display the year on the x-axis instead of the observations? Thank you for your help.


I think this has to do with the fact that it is panel data. To see this, remove the CX=F and WGT=CXSUR options in the Least Squares estimation. It would result in a Sample Range error. I'd assume this is caused by stepping to the next cross-section, at which point the sample will have an end date which is earlier than the start date.

I never worked with panel data regressions, so I have no clue how to solve this. Perhaps someone else does?

Alice Thai
Posts: 6
Joined: Fri Apr 21, 2017 6:28 am

Re: Basic Rolling Regression

Postby Alice Thai » Tue Apr 25, 2017 1:18 am

The Yoyo wrote:
Alice Thai wrote:Dear The Yoyo, thank you so much, I am making progress on this, I have successfully created the rolling window. However, another problem arises since the result only displays around 250 observations (I have attached an image for the issue, I think this could be my data is pooled panel data so the program can only run smoothly for the 170 observations of the first country.). In addition, I want to estimate the change of the coefficients over the time series, so is there any way to display the year on the x-axis instead of the observations? Thank you for your help.


I think this has to do with the fact that it is panel data. To see this, remove the CX=F and WGT=CXSUR options in the Least Squares estimation. It would result in a Sample Range error. I'd assume this is caused by stepping to the next cross-section, at which point the sample will have an end date which is earlier than the start date.

I never worked with panel data regressions, so I have no clue how to solve this. Perhaps someone else does?


Thank you The Yoyo for your help. I hope somebody in the forum can give some advice for this problem soon.


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