Roll (Rolling Regression)

[EViews Gareth]

Hard to know.

Don't include the constant term.

[tariqaziz]

I have added code in the program to save the S.E. of regression also in the results output. Its working fine.

[kkalev]

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:

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!

[EViews Gareth]

Updated.

[Janys]

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!

[bhavesh]

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.

[enricodace]

which methods is suitable to detect multicollinearity under rolling regression? Nither VIF nor correlation plot isn't working for rollings. Any idea please?

[enricodace]

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?