Hard to know.
Don't include the constant term.
Roll (Rolling Regression)
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 Fe ddaethom, fe welon, fe amcangyfrifon
 Posts: 12112
 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

 myrollprog.prg
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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 plugin 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 plugin 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)+!i1)
smpl {%start} {%last}
!k= !i
becomes
Code: Select all
if !windowtype=2 then
%last = @otod(@dtoo(%start)+!i1)
smpl {%start} {%last}
!k= @dtoo(%start)+!i1
Thanks a lot!
Last edited by kkalev on Thu Dec 01, 2016 4:14 pm, edited 1 time in total.

 Fe ddaethom, fe welon, fe amcangyfrifon
 Posts: 12112
 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 redownloaded 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.

 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?

 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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