Roll (Rolling Regression)

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EViews Gareth
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Roll (Rolling Regression)

Postby EViews Gareth » Mon Apr 05, 2010 1:42 pm

This thread is about the Roll Add-in that performs rolling regression from a single equation object, letting you store various coefficient or equation statistics from each iteration of the roll.

Change log
  • 2010/02/10 - Initial release
  • 2010/04/19 - Fix for a bug whereby stored coefficients/statistics were being stored at the wrong dates if the start point of the roll was not the first observation in the workfile
  • 2011/08/22 - Added an error message for panel workfiles (which are not supported)
  • 2012/04/11 - Command options are added
Attachments
rolling regression command options.png
rolling regression command options.png (28.86 KiB) Viewed 15525 times

EViews Gareth
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Re: Roll (Rolling Regression)

Postby EViews Gareth » Mon Apr 19, 2010 10:40 am

New update for sample issues.
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Silvana
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Re: Roll (Rolling Regression)

Postby Silvana » Mon Jun 13, 2011 8:58 am

Hello I'm new to the forum. I tried to run rolling regression install.prg but got an error. I'm running Eviews 6
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Silvana
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Re: Roll (Rolling Regression)

Postby Silvana » Mon Jun 13, 2011 8:59 am

Thanks

EViews Gareth
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Roll (Rolling Regression)

Postby EViews Gareth » Mon Jun 13, 2011 9:06 am

EViews Addins require EViews 7.
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Silvana
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Re: Roll (Rolling Regression)

Postby Silvana » Mon Jun 13, 2011 11:14 am

Darn! does anyone have the code for 6? Silvana

EViews Gareth
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Re: Roll (Rolling Regression)

Postby EViews Gareth » Mon Jun 13, 2011 11:25 am

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Silvana
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Re: Roll (Rolling Regression)

Postby Silvana » Mon Jun 13, 2011 11:34 am

I'll check it out. Thanks for speedy response.

hraouf
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Re: Roll (Rolling Regression)

Postby hraouf » Mon Jul 04, 2011 1:30 am

Hello
I am running eviews 7.1 and am trying to run a rolling regression using the simple roll add-in. The columns have 6080 rows and each 40 rows is for a certain group, so I need to do a regression for each 40 rows. When i run the first set of rows the regression works fine however I then go to add ins, use a window size of 40 and a step size of 40 and a get perfect multi colliniarity warnings (even though the equation is designed to prevent this) and meaningless coefficient output files with 6080 rows. What am I doing wrong? not least what is the sample size I need to enter into the equation box (e.g. to do the first set of rows I entered 1 40)
I have enclosed the output from my first run in case it sheds some light
Many thanks
Sam
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EViews Gareth
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Re: Roll (Rolling Regression)

Postby EViews Gareth » Mon Jul 04, 2011 9:36 am

The sample box is used to indicate the entire sample that will be used, not the sample for the first roll.
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victor2
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Re: Roll (Rolling Regression)

Postby victor2 » Wed Jul 20, 2011 9:26 am

how do I use the add-in once I have installed it?

EViews Gareth
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Re: Roll (Rolling Regression)

Postby EViews Gareth » Wed Jul 20, 2011 9:38 am

Open an equation, click on the Add-in menu and select it.
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mwu888
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Basic Rolling Regression

Postby mwu888 » Wed Jul 27, 2011 10:29 am

Hi,

Can anyone show me sample codes for using the rolling coefficients(obtained from using the Rolling Regression Add-In in Eviews 7.2) to forecast the dependent variable?

Thank you!!!

EViews Gareth
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Re: Roll (Rolling Regression)

Postby EViews Gareth » Wed Jul 27, 2011 10:36 am

Assuming you have a simple linear regression, you'll have to write out the algebra in a series expression manually. Something like:

Code: Select all

series fcast = coef1 + coef2*x1 + coef3*x2
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fariz888
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Re: Roll (Rolling Regression)

Postby fariz888 » Thu Aug 11, 2011 4:07 am

Hi guys,

How to see stored coefficient after running roll add in? (in a table or matrix form)

thanks in advance


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