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?