Roll (Rolling Regression)

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EViews Gareth
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Posts: 11299
Joined: Tue Sep 16, 2008 5:38 pm

Re: Roll (Rolling Regression)

Postby EViews Gareth » Wed Dec 04, 2013 11:20 pm

Hard to know.

Don't include the constant term.
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tariqaziz
Posts: 5
Joined: Fri Sep 27, 2013 4:26 am

Re: Roll (Rolling Regression)

Postby tariqaziz » Tue Feb 04, 2014 2:25 am

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
(7.16 KiB) Downloaded 172 times

kkalev
Posts: 1
Joined: Thu Dec 01, 2016 3:10 am

Re: Roll (Rolling Regression)

Postby kkalev » Thu Dec 01, 2016 5:15 am

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!
Last edited by kkalev on Thu Dec 01, 2016 4:14 pm, edited 1 time in total.

EViews Gareth
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Re: Roll (Rolling Regression)

Postby EViews Gareth » Thu Dec 01, 2016 10:16 am

Updated.
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Janys
Posts: 1
Joined: Wed Mar 08, 2017 10:23 am

Re: Roll (Rolling Regression)

Postby Janys » Thu Mar 09, 2017 3:30 am

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!


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