Hard to know.
Don't include the constant term.
Roll (Rolling Regression)
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 11986
- Joined: Tue Sep 16, 2008 5:38 pm
Re: Roll (Rolling Regression)
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Re: Roll (Rolling Regression)
I have added code in the program to save the S.E. of regression also in the results output. Its working fine.
- Attachments
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- myrollprog.prg
- (7.16 KiB) Downloaded 259 times
Re: Roll (Rolling Regression)
Hello. Running Eviews 9
I believe there is a small bug in the Advanced Rolling Regression with Anchored Start. When the sample is different from the full sample the plug-in will still store estimated coefficients (and other elements) as if the starting point was the first observation in the workfile. I think that the following fix is necessary in advroll.prg at line 268 and after:
becomes
Thanks a lot!
I believe there is a small bug in the Advanced Rolling Regression with Anchored Start. When the sample is different from the full sample the plug-in will still store estimated coefficients (and other elements) as if the starting point was the first observation in the workfile. I think that the following fix is necessary in advroll.prg at line 268 and after:
Code: Select all
if !windowtype=2 then
%last = @otod(@dtoo(%start)+!i-1)
smpl {%start} {%last}
!k= !i
becomes
Code: Select all
if !windowtype=2 then
%last = @otod(@dtoo(%start)+!i-1)
smpl {%start} {%last}
!k= @dtoo(%start)+!i-1
Thanks a lot!
Last edited by kkalev on Thu Dec 01, 2016 4:14 pm, edited 1 time in total.
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- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 11986
- Joined: Tue Sep 16, 2008 5:38 pm
Re: Roll (Rolling Regression)
I'm trying to get the confidence interval in the rolling coefficient graph (and other graphs as well). Does anyone know how to get it? I able to get it with an older version (I guess). But it seems like I couldn't get the confidence interval anymore after I switched to Eviews 9 and re-downloaded the addins. Would greatly appreciate for your help!
Re: Roll (Rolling Regression)
EViews Gareth wrote: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
Hi. Can the rolling regression be applied to ARDL bound testing approach (or any other cointegration approaches) in EViews? Eagerly waiting for your response.
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- Posts: 5
- Joined: Sat Jun 09, 2018 1:41 am
Re: Roll (Rolling Regression)
which methods is suitable to detect multicollinearity under rolling regression? Nither VIF nor correlation plot isn't working for rollings. Any idea please?
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- Posts: 5
- Joined: Sat Jun 09, 2018 1:41 am
Re: Roll (Rolling Regression)
Dear Gareth,
I have downloaded a rolling add_in.
I did it, it seems working but when i checking results the rolling estimate is just an exact copy of the one with out rolling? what could be the problem and why?
I have downloaded a rolling add_in.
I did it, it seems working but when i checking results the rolling estimate is just an exact copy of the one with out rolling? what could be the problem and why?
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