Roll (Rolling Regression)

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EViews Gareth
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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 203 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
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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!

bhavesh
Posts: 1
Joined: Sat Sep 21, 2013 6:33 am

Re: Roll (Rolling Regression)

Postby bhavesh » Sun Jun 10, 2018 11:43 pm

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.

enricodace
Posts: 5
Joined: Sat Jun 09, 2018 1:41 am

Re: Roll (Rolling Regression)

Postby enricodace » Mon Jun 11, 2018 12:11 am

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

enricodace
Posts: 5
Joined: Sat Jun 09, 2018 1:41 am

Re: Roll (Rolling Regression)

Postby enricodace » Thu Jun 14, 2018 9:00 am

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?


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