Rolling Regression Coefficients

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hkim1
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Joined: Wed May 06, 2020 11:10 am

Rolling Regression Coefficients

Postby hkim1 » Wed May 06, 2020 12:05 pm

I want to use Rolling Regression Coefficients and thus download a relevant Add in (Roll).
However, it say "Date does not uniquely define observation in panels."
There is no rolling regression for Panel data in Eviews?
Thanks for consideration.

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

Re: Rolling Regression Coefficients

Postby EViews Gareth » Wed May 06, 2020 12:10 pm

There is no built in rolling regression for panels in EViews.

There is also no built in rolling regression for non-panels in EViews.

There is an add-in, as you mentioned. Add-ins are open source - you could modify it to work in a panel if required.
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hkim1
Posts: 4
Joined: Wed May 06, 2020 11:10 am

Re: Rolling Regression Coefficients

Postby hkim1 » Wed May 06, 2020 3:57 pm

Would you please explain how I can modify it to work in a panel?


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