Roll (Rolling Regression)

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EViews Gareth
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Re: Roll (Rolling Regression)

Postby EViews Gareth » Thu Aug 11, 2011 7:55 am

They're stored in your workfile under the name "rollcoefs_"
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capeluvoladora
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Joined: Mon Aug 22, 2011 1:23 pm

Re: Roll (Rolling Regression)

Postby capeluvoladora » Mon Aug 22, 2011 1:32 pm

Hi all.
I´m trying to perform a rolling regression with a panel (42 periods x 4 cross-sections) but I get this message: "Error in Sample: Range Error".
I´ve tried modifying the range and the sample but I can´t make it work.
I´m a little rusty with my EV (I started with the 3.1 version back at school...). Any ideas?
Thanks in advance!

EViews Gareth
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Re: Roll (Rolling Regression)

Postby EViews Gareth » Mon Aug 22, 2011 1:53 pm

The add-in doesn't support Panel data (sorry!).
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Andreaxxx
Posts: 2
Joined: Fri Jan 27, 2012 8:51 am

Re: Roll (Rolling Regression)

Postby Andreaxxx » Fri Jan 27, 2012 8:57 am

Hello,
i think there's a bug in the add-in:
if i do a rolling regression which includes more than 1 ar() / ma() parameter, i get this error: "Invalid (or out of range) coefficient or matrix index 2."

the thing is that, one i use only 1 ar() or 1 ma() parameter the addin works but the coefficients are stored in a series called rollcoefs_ instead of being called, for example, rollcoefs_ar1

I'm currently looking at the source code in order to fix this behaviour but if someone already knows how to fix it i would defintely appreciate it!

EViews Gareth
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Re: Roll (Rolling Regression)

Postby EViews Gareth » Fri Jan 27, 2012 9:48 am

A real quick fix is to change this bit of code (in the roll.prg):

Code: Select all

if _this.@bylist=1 then
   %coefnames = _this.@varlist
   %coefnames = @wmid(%coefnames,2)  'drop dependent var.
else
   %coefnames = _this.@coeflist
endif


to be just (i.e. get rid of the if condition completely):

Code: Select all

%coefnames = _this.@coeflist
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apablon
Posts: 1
Joined: Sun Sep 30, 2012 11:51 am

Re: Roll (Rolling Regression)

Postby apablon » Sun Sep 30, 2012 11:59 am

hi,
Im new in this forum.. Im running an AR(1) process, I estimate a rolling sample, window fo 20,
How can i get the standard deviation or regression residuals, and a Estimated Aerage of de dependent variable ??
im using the roll add in.

thanks,

jennie
Posts: 11
Joined: Tue Jul 05, 2011 2:31 pm

Re: Roll (Rolling Regression)

Postby jennie » Mon Jul 29, 2013 1:37 pm

Hi,

I am using ADVROLL to run a rolling regression.

My window size is set to 90 and my step is set to 1.

After I run the rolling regression, my first coefficients are at observation 90.
I have NA for the first 89 observation points which makes sense because of the window size I have chosen.

I also get NA for the last observation point in my series.
All of my coefficients for the final date in the series are NA.
Why is this the case?

Thanks,
Jen

EViews Gareth
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Re: Roll (Rolling Regression)

Postby EViews Gareth » Mon Jul 29, 2013 2:05 pm

Could you provide the workfile?
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jennie
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Re: Roll (Rolling Regression)

Postby jennie » Tue Jul 30, 2013 7:31 am

I have attached the workfile, thanks for taking a look.
Attachments
elr_returns.wf1
(213.94 KiB) Downloaded 180 times

EViews Gareth
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Re: Roll (Rolling Regression)

Postby EViews Gareth » Tue Jul 30, 2013 8:04 am

Works fine for me. Try re-downloading the add-in.
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tariqaziz
Posts: 5
Joined: Fri Sep 27, 2013 4:26 am

Re: Roll (Rolling Regression)

Postby tariqaziz » Fri Sep 27, 2013 4:34 am

Hello
Can someone guide me on how to store the S.E. of regressions while using the rolling regression addin? Thanks in advance.

EViews Gareth
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Re: Roll (Rolling Regression)

Postby EViews Gareth » Fri Sep 27, 2013 7:46 am

You'll have to add it to the program yourself, I think. Find the code that stores the R-squareds, and either change it to store @se rather than @r2, or add new code to do the SE.
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balkan
Posts: 1
Joined: Tue Nov 19, 2013 1:48 am

Re: Roll (Rolling Regression)

Postby balkan » Tue Nov 19, 2013 1:53 am

Hi,

I'm getting such an error when I try to install the add-in.

"ADDIN is not defined or is an illegal command in...". Is it because I'm using an inferior version of eviews or should I download something else in advance.

Thanks,

ps. my version of eviews is eviews7.

EViews Gareth
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Re: Roll (Rolling Regression)

Postby EViews Gareth » Tue Nov 19, 2013 2:00 am

You need EViews 7.1, at least.
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nilay117
Posts: 1
Joined: Wed Dec 04, 2013 10:30 pm

Re: Roll (Rolling Regression)

Postby nilay117 » Wed Dec 04, 2013 10:42 pm

I have installed eviews 7.2 version. I have been running a rolling regression on the previous version, a 30-week 1 step roll regression. In the new version, when I run the regression the same way my latest week data gives me NA as coefficients for all the numbers. Do you know what this is about? Also, can I force the intercept as zero?


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