Rolling Wald Test

For questions regarding programming in the EViews programming language.

Moderators: EViews Gareth, EViews Jason, EViews Moderator

george_B
Posts: 1
Joined: Sun Oct 26, 2008 2:44 am

Rolling Wald Test

Postby george_B » Sun Oct 26, 2008 3:34 am

Hello

I am trying to do some rolling wald tests. I have the following program which allows me to retrieve the rolling coefficients but I do not know how to run and retrieve the rolling wald tests/statistics. Can you help? Thanks

' set window size
!window = 100
' get size of workfile
!length = @obsrange

equation eq1

' declare matrix to store results
matrix(!length-!window+1,1) movcoef

' compute stats for each window
for !i = 1 to !length-!window+1
smpl @first+!i-1 @first+!i+!window-2
eq1.ls Y c X
movcoef(!i,1) = @coefs(1)
next

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 11406
Joined: Tue Sep 16, 2008 5:38 pm

Re: Rolling Wald Test

Postby EViews Gareth » Sun Oct 26, 2008 8:00 am

Hi.

Please see the post in this thread:

viewtopic.php?f=5&t=18
Follow us on Twitter @IHSEViews


Return to “Programming”

Who is online

Users browsing this forum: Google [Bot] and 8 guests