Rolling Wald Test
Posted: 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
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