Advanced/Simple Rolling Regression vs. Rolling Object

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Advanced/Simple Rolling Regression vs. Rolling Object

Postby Billy1989 » Fri Aug 03, 2018 7:13 am


I wrote a small program for running a rolling regression and it works okay. I am not the end-user. I wanted to check out my results with those of the Advanced or Simple Rolling Regression add-in now available with Eviews. The results are the same. However, when I compare the output using the add-in object roll, it is ever so slightly different. So then I compared the add-in programs against the add-in object and a slight disconnect occurred there as well. Can someone explain the difference between using the add-in object and the add-in program for a rolling regression and why the results are not the same?

I realize the difference is not statistically significant when I do a comparison of the results of the add-in object vs. add-in programs. Nonetheless they are there. But since the end-user needs to know I did it all correctly I wanted to show them the results of all three ways to achieve their task (my program, the object or the two add-in programs). They need to feel comfortable that I did it right and will question why there is a difference.

Thank you.

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